Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G17: Financial Forecasting and Simulation

2025

• Bryan T. Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2025. "Artificial Intelligence Asset Pricing Models," NBER Working Papers 33351, National Bureau of Economic Research, Inc.
• Anne Opschoor & André Lucas & Luca Rossini, 2025. "The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 177-190.
• Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2025. "Graph-Based Methods for Forecasting Realized Covariances," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 1977-2016.
• Álvaro Cartea & Samuel N Cohen & Robert Graumans & Saad Labyad & Leandro Sánchez-Betancourt & Leon van Veldhuijzen, 2025. "Statistical Predictions of Trading Strategies in Electronic Markets," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 31-53.
• Matei Demetrescu & Benjamin Hillmann, 2025. "Gaussian Inference in Predictive Regressions for Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 813-841.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  • Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
• Meng Han & Lammertjan Dam & Walter Pohl, 2025. "What drives commodity price variation?," Review of Finance, European Finance Association, vol. 29(2), pages 315-347.
• David Hirshleifer & Dat Mai & Kuntara Pukthuanthong, 2025. "War Discourse and Disaster Premium: 160 Years of Evidence from the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 38(2), pages 457-506.
• Mahtab Athari & Atsuyuki Naka & Abdullah Noman, 2025. "Forecasting stock returns with sum-of-the-parts methodology: international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 26(1), pages 91-114, February.
• Ulrich Krüger & Christoph Roling & Leonid Silbermann & Lui-Hsian Wong, 2025. "Bank’s strategic interaction, adverse price dynamics and systemic liquidity risk," Journal of Banking Regulation, Palgrave Macmillan, vol. 26(1), pages 1-24, March.
  • Krüger, Ulrich & Roling, Christoph & Silbermann, Leonid & Wong, Lui Hsian, 2022. "Banks' strategic interaction, adverse price dynamics and systemic liquidity risk," Discussion Papers 06/2022, Deutsche Bundesbank.
• Nico Knuth & Andreas Nastansky, 2025. "Anwendung von Deep Learning in der Prognose der Volatilität des DAX: Ein Vergleich der Prognosegüte von GARCH und LSTM," Statistische Diskussionsbeiträge 59, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Li, Chenxing & Yang, Qiao, 2025. "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper 123200, University Library of Munich, Germany.
• Said Magomedov & Dean Fantazzini, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," JRFM, MDPI, vol. 18(2), pages 1-20, January.
  • Magomedov, Said & Fantazzini, Dean, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," MPRA Paper 123416, University Library of Munich, Germany.
• Ojo, Marianne, 2025. "Strategic crypto reserves: A new era for crypto currency regulation and central bank digital currencies?," MPRA Paper 123994, University Library of Munich, Germany, revised Feb 2025.
• Serrano Caballero, Enriqueta & Ojo, Marianne, 2019. "Trade Negotiations and Global Relations: Emerging Players and Actors," MPRA Paper 92105, University Library of Munich, Germany.
  • Ojo, Marianne & Serrano Caballero, Enriqueta & Joshi, Amol & Lahiri, Nandini & Hemmatian, Iman, 2025. "Trade negotiations and global relations : emerging players and actors," MPRA Paper 124064, University Library of Munich, Germany, revised Mar 2025.
  • Ojo, Marianne & DiGabriele, Jim & Serrano Caballero, Enriqueta & Joshi, Amol & Lahiri, Nandini & Im, Hemmatian, 2020. "Trade negotiations and global relations: emerging players and actors (II)," MPRA Paper 98969, University Library of Munich, Germany.
• Ojo, Marianne, 2006. "Financial regulation and risk management: addressing risk challenges in a changing financial environment," MPRA Paper 32409, University Library of Munich, Germany, revised Jul 2011.
  • Ojo, Marianne, 2025. "Financial regulation and risk management: addressing risk challenges in a changing financial environment," MPRA Paper 124358, University Library of Munich, Germany, revised Jun 2025.
  • Ojo, Marianne, 2009. "Financial regulation and risk management: addressing risk challenges in a changing financial environment," MPRA Paper 27424, University Library of Munich, Germany, revised 14 Dec 2010.
  • Ojo, Marianne, 2009. "Financial Regulation and Risk Management: Addressing Risk Challenges in a Changing Financial Environment," MPRA Paper 14503, University Library of Munich, Germany.
• Mawuli Segnon & Bjorn Schulte-Tillmann & Riza Demirer & Rangan Gupta, 2025. "Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures," Working Papers 202506, University of Pretoria, Department of Economics.
• Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2025. "Unraveling Financial Fragility of Global Markets Using Machine Learning," Working Papers 202511, University of Pretoria, Department of Economics.
• Vasilios Plakandaras & Matteo Bonato & Rangan Gupta & Oguzhan Cepni, 2025. "Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments," Working Papers 202518, University of Pretoria, Department of Economics.
• Rebecca A. Ranucci, 2025. "Shifts in the Information Interface Between Managers and Analysts," American Business Review, Pompea College of Business, University of New Haven, vol. 28(1), pages 286-302.
• Dean Fantazzini & Elena Korobova, 2025. "Stablecoins and credit risk: when do they stop being stable?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 46-73.
  • Korobova, Elena & Fantazzini, Dean, 2024. "Stablecoins and credit risk: when do they stop being stable?," MPRA Paper 122951, University Library of Munich, Germany.
• Maksim Teterin & Anatoly Peresetsky, 2025. "Can Ethereum predict Bitcoin’s volatility?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 74-90.
• Mohammad Zoynul Abedin & Mahmudul Hasan Moon & M. Kabir Hassan & Petr Hajek, 2025. "Deep learning-based exchange rate prediction during the COVID-19 pandemic," Annals of Operations Research, Springer, vol. 345(2), pages 1335-1386, February.
• Jean-Michel Sahut & Petr Hajek & Vladimir Olej & Lubica Hikkerova, 2025. "The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic," Annals of Operations Research, Springer, vol. 345(2), pages 861-884, February.
• Muhammad Tahir Suleman & Umaid A Sheikh & Emilios C. Galariotis & David Roubaud, 2025. "The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns," Annals of Operations Research, Springer, vol. 347(1), pages 633-677, April.
• Anupam Dutta, 2025. "Assessing the Risk of Bitcoin Futures Market: New Evidence," Annals of Data Science, Springer, vol. 12(2), pages 481-497, April.
• Montasser Ghachem & Oguz Ersan, 2025. "Estimation of the probability of informed trading models via an expectation-conditional maximization algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
• Lin Zhu & Zhihua Zhang & M. James C. Crabbe, 2025. "Exploring small-scale optimization coupling learning approaches for enterprises’ financial health forecasts," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-18, December.
• Yang Zhou & Chi Xie & Gang-Jin Wang & Jue Gong & You Zhu, 2025. "Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-52, December.
• Christoph Merkle & Philipp Schreiber, 2025. "Learning to be overprecise," Journal of Business Economics, Springer, vol. 95(2), pages 467-497, April.
• Mesias Alfeus & Justin Harvey & Phuthehang Maphatsoe, 2025. "Improving realised volatility forecast for emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(1), pages 299-342, March.
• Rezvan Pourmansouri & MirFeiz Fallahshams & Reza Ghafari Gol Afshani, 2025. "Designing a Financial Stress Index Based on the GHARCH-DCC Approach and Machine Learning Models," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(1), pages 2689-2718, March.
• Pei Kuang & Li Tang & Renbin Zhang & Tongbin Zhang, 2025. "Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 79(2), pages 657-685, March.
• Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2025. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 101(2), pages 163-218, April.
• Theo Berger, 2025. "On the information content of explainable artificial intelligence for quantitative approaches in finance," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 47(1), pages 177-203, March.
• Lukman A. Lasisi & Franklin N. Ngwu & Mohammed K. Taliat & Abeeb O. Olaniran & Kelechi C. Nnamdi, 2025. "Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach," SN Business & Economics, Springer, vol. 5(3), pages 1-21, March.
• Helder Sebastião & Pedro Godinho, 2025. "Forecasting and Trading Cryptocurrencies with Machine Learning Under Changing Market Conditions," Springer Books, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo (ed.), Blockchain, Crypto Assets, and Financial Innovation, pages 252-294, Springer.
• Yannick Malevergne & Didier Sornette & Ran Wei, 2025. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Quantitative Finance, Taylor & Francis Journals, vol. 25(4), pages 591-616, April.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2021. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series 21-96, Swiss Finance Institute.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2023. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Working Papers hal-04012267, HAL.
• Perez Katarzyna & Bartkowiak Marcin, 2025. "Chasing Returns of Open-End Investment Funds Using Recurrent Neural Networks. A Long-Term Study," Central European Economic Journal, Sciendo, vol. 12(59), pages 49-65.
• Brolinska Iryna & Žilinskij Grigorij, 2025. "Evaluation of Effectiveness of Arima Model Predictions in Investment Portfolio Formation and Management," Economics and Culture, Sciendo, vol. 22(1), pages 108-122.
• Topcu Murat, 2025. "Analysis of Price Bubbles in Borsa Istanbul (BIST) Liquid Banking Sector Stock Market," Economics, Sciendo, vol. 13(2), pages 305-331.
• Agrawal Pravin Kumar & Kumar Mohit, 2025. "Modeling the relationship among the stock market, gold price, oil price and exchange rate: A VECM and VDA approach," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 21(1), pages 1-14.
• Simon Tranberg Bodilsen & Asger Lunde, 2025. "Exploiting News Analytics for Volatility Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 18-36, January.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
• Tam Phan Huy & Tuyet Pham Hong & An Bui Nguyen Quoc, 2025. "Leveraging Tree-based Machine Learning for Predicting Earnings Management," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-20, June.
• Yuping Song & Zhenwei Li & Jing Han & Xiaochen Wang, 2025. "Research On The Application Of Artificial Intelligence In Fund Manager Identification," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 70(04), pages 973-1007, June.
• Saira Yamin & Saqib Gulzar, 2025. "Multiples And Stock Price, New Approach For Relative Valuation Through Neural Network," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 70(04), pages 953-971, June.
• Siyi Li & Theodore Sougiannis & Sophia I. Wang, 2025. "Mandatory IFRS Adoption and the Usefulness of Accounting Information in Predicting Future Earnings and Cash Flows," The International Journal of Accounting (TIJA), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-51, March.
• Carlo A Favero & Claudio Tebaldi, 2025. "Lectures on the Theory and Application of Modern Finance with R and ChatGPT," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 14268.
• Sangyup Choi & Jongho Park & Kwangyong Park, 2025. "US Monetary Policy, Exchange Rates, and Delayed Portfolio Adjustments," Working papers 2025rwp-240, Yonsei University, Yonsei Economics Research Institute.
• Alexandru Silviu, Goga, 2025. "Challenges of Industry Portfolio Management with Artificial Intelligence," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2024), Hybrid Conference, Dubrovnik, Croatia, in: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Hybrid Conference, Dubrovnik, Croatia, 5-7 September, 2024, pages 64-72, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb.
• Wegener, Christoph & Basse, Tobias & Maiani, Stefano & Nguyen, Tam Huu, 2025. "Predictive power of oil prices on CDS spread dynamics of oil-producing countries," Accountancy, Economics, and Finance Working Papers 2025-02, Heriot-Watt University, Department of Accountancy, Economics, and Finance.
• Antonello Cirulli & Gianluca De Nard & Joshua Traut & Patrick Walker, 2025. "Low risk, high variability: practical guide for portfolio construction," ECON - Working Papers 463, Department of Economics - University of Zurich, revised Mar 2025.
• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2025. "Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data," Auburn Economics Working Paper Series auwp2025-01, Department of Economics, Auburn University.
• Bülent İlhan & Funda Kara, 2025. "Dynamic Relationship Between Bist Industrial Index and Industrial Production Index, GEPU, Commercial Loan Interest and Exchange Rate," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 40(123), pages 166-187, April.
• Nazif Ayyıldız, 2025. "Predicting Market Direction With Deep Learning: An Application on E-7 Country Stock Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 40(123), pages 92-111, April.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU, 2025. "Budgetary Management of Investments," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 6(1), pages 16-26, January.
• Ayşegül PEKER & Duygu TUNALI, 2025. "The Comparison of Artificial Neural Networks and Panel Data Analysis on Profitability Prediction: The Case of Real Estate Investment Trusts," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 160-183.
• Erdi BAYRAM & Rabia AKTAŞ, 2025. "Portfolio Construction with Postmodern Portfolio Theory Framework," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 27-43.
• Hakan YILMAZ, 2025. "Finansal Bilgi Manipülasyonunun Beneish TR Modeli Kullanılarak Tahmin Edilmesi: BİST İmalat Sanayi Üzerine Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 359-388.
• Yüksel İltaş & Fatih Güzel, 2025. "The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(4), pages 796-811.
• Adil Haniev & Viktoriya V. Suhih, 2025. "Analysis of the Impact of ESG Initiatives on the Financial Performance of Shareholders in Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 24(1), pages 319-343.
• Monia Magnani & Massimo Guidolin, 2025. "Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles," BAFFI CAREFIN Working Papers 25252, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Serhii Kanyhin & Svitlana Achkasova & Viktoriia Tyschenko & Vlada Karpova & Oleksii Naidenko, 2025. "Bankruptcy Risks Assessment: A Comprehensive Review of Qualitative Indicators," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 22-44.
• Viacheslav Makedon & Valentin Myachin & Tetiana Aloshyna & Iryna Cherniavska & Nataliia Karavan, 2025. "Improving the Readiness of Enterprises to Develop Sustainable Innovation Strategies through Fuzzy Logic Models," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 165-179.
• Vladimir Belkin, 2025. "Federal Fund Rate and Geomagnetic Index Ap Cycles (1955–2024)," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2.
• Katherine Brennan & Bo Young Chang & Alper Odabasioglu & Radoslav Raykov, 2025. "Stress testing central counterparties for resolution planning," Staff Analytical Notes 2025-11, Bank of Canada.
• Katherine Brennan & Bo Young Chang & Alper Odabasioglu & Radoslav Raykov, 2025. "Soumettre les contreparties centrales à des simulations de crise pour établir leurs plans de résolution," Staff Analytical Notes 2025-11fr, Bank of Canada.
• Alejandro Ferrer & Ana Molina, 2025. "Interacción entre riesgo de liquidez y solvencia bancaria a través de los mecanismos de monetización de activos," Occasional Papers 2509, Banco de España.
• Alejandro Ferrer & Ana Molina, 2025. "The interaction of liquidity risk and bank solvency via asset monetisation mechanisms," Occasional Papers 2509, Banco de España.
• Pilar García & Diego Torres, 2025. "Perceiving central bank communications through press coverage," Working Papers 2505, Banco de España.
• Michele Leonardo Bianchi & Federica Pallante, 2025. "Comparing the systemic risk of Italian insurers and banks," Questioni di Economia e Finanza (Occasional Papers) 922, Bank of Italy, Economic Research and International Relations Area.
• Inaki Aldasoro & Peter Hördahl & Andreas Schrimpf & Sonya Zhu, 2025. "Predicting financial market stress with machine learning," BIS Working Papers 1250, Bank for International Settlements.
• Vasily Pozdyshev & Alexey Lobanov & Kirill Ilinsky, 2025. "Incorporating physical climate risks into banks' credit risk models," BIS Working Papers 1274, Bank for International Settlements.
• Mustafa Siti Aisyah & Nor Safwan Mohd & Halim Zairihan Abdul & Zawawi Nur Haiza Muhammad, 2025. "Estimating Short-term Default Probabilities Conditional to Economic Conditions: Applications of Regularisation Approach and Economic Adjustment Coefficients," Business Systems Research, Sciendo, vol. 16(1), pages 178-197.
• Hoanh-Su Le & Phong Le Quang Chan & Vinh Truong Cong & Nhat Ho Mai Minh & Lee Jong-Hwa, 2025. "Default Prediction in the Finance Industry Based on Ensemble Learning: Combining Machine Learning and Deep Learning," Business Systems Research, Sciendo, vol. 16(1), pages 198-218.
• Anton Ilichov, 2025. "Problems of the efficiency of the functioning of the market of passenger transportation services in the conditions of the stateof war: identification and ways of overcoming," Economic Synergy, Higher Educational Institution Academician Yuriy Bugay International Scientific & Technical University, issue 1, pages 212-225.
• Benjamin Christoffersen & Arvid Hoffmann & Zwetelina Iliewa & Lena Jaroszek, 2025. "Experience Effects on Wall Street vs. Main Street: Field and Lab Evidence of Context Dependence," CRC TR 224 Discussion Paper Series crctr224_2025_684, University of Bonn and University of Mannheim, Germany.
• Mattera Raffaele, 2025. "Forecasting High-Dimensional Portfolios," Journal of Time Series Econometrics, De Gruyter, vol. 17(1), pages 35-67.
• Bryan T. Kelly & Semyon Malamud & Emil Siriwardane & Hongyu Wu, 2025. "Behavioral Impulse Responses," Swiss Finance Institute Research Paper Series 25-04, Swiss Finance Institute.
• Lin, K.C. & Dong, Xiaobo, 2025. "Climate policy uncertainty and analyst forecast quality for greenhouse gas-intensive firms," Advances in accounting, Elsevier, vol. 68(C).
• Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Okada, Katsuhiko & Riyanto, Yohanes E. & Zhu, Jiahua, 2025. "Financial forecasting in the lab and the field: Qualified professionals vs. smart students," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156, Institute of Social and Economic Research, The University of Osaka.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2025. "Financial forecasting in the lab and the field : Qualified professionals vs. smart students," Post-Print hal-05053019, HAL.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156r, Institute of Social and Economic Research, The University of Osaka, revised Sep 2024.
• Rieder, Markus J., 2025. "How heterogeneous information induces market inefficiencies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
• Fu, Fanjie & Yao, Shujie & Fang, Jing & Zhang, Fan & Lin, Chuan, 2025. "CEOs' hometown connections and optimism in analyst earnings forecasts: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1031-1052.
• Peng, Michael & Stern, Elisheva R. & Hu, Hanwen, 2025. "Forecasting China bond default with severe class-imbalanced data: A simple learning model with causal inference," Economic Modelling, Elsevier, vol. 144(C).
• Cho, Dooyeon & Lee, Kyung-woo, 2025. "Pension sustainability and government effectiveness in the presence of population aging," Economic Modelling, Elsevier, vol. 147(C).
• Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
  • Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
• Lupu, Radu & Călin, Adrian Cantemir & Dumitrescu, Dan Gabriel & Lupu, Iulia, 2025. "Introducing a novel fragility index for assessing financial stability amid asset bubble episodes," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
• Fathi, Masoumeh & Grobys, Klaus & Äijö, Janne, 2025. "A common component of Fama and French factor variances," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
• Akyildirim, Erdinc & Corbet, Shaen & Coskun, Ali & Ercan, Metin, 2025. "Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
• Xu, Buyun & Wu, Zhimin, 2025. "Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
• Yao, Yinhong & Chen, Xiuwen & Chen, Zhensong, 2025. "Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
• Grecu, Robert Adrian & Cramer, Alexandru Adrian & Pele, Daniel Traian & Lessmann, Stefan, 2025. "The link between energy prices and stock markets in European Union countries," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
• Qian, Yihe & Zhang, Yang, 2025. "Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
• Hu, Genhua & Ma, Xiaoqing & Zhu, Tingting, 2025. "Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
• Yang, Mo & Cao, Jiawei & Meng, Yifan & Gong, Hao, 2025. "Managerial integrity and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
• Yang, Liwei & Liu, Rumei & Zhang, Jianing, 2025. "Adaptive online portfolio selection incorporating systematic risk of the financial market," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
• Xie, Xiaodu, 2025. "Indirect and direct forecasting of volatility-timing portfolios," Economics Letters, Elsevier, vol. 247(C).
• Aït-Sahalia, Yacine & Matthys, Felix & Osambela, Emilio & Sircar, Ronnie, 2025. "When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance," Journal of Econometrics, Elsevier, vol. 248(C).
• Czellar, Veronika & Garcia, René & Le Grand, François, 2025. "Uncovering asset market participation from household consumption and income," Journal of Econometrics, Elsevier, vol. 248(C).
• Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025. "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
• Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2025. "Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach," Journal of Econometrics, Elsevier, vol. 249(PB).
• Demetrescu, Matei & Roling, Christoph, 2025. "Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss," Econometrics and Statistics, Elsevier, vol. 33(C), pages 80-104.
• Ellington, Michael & Kalli, Maria, 2025. "Predictive distributions and the market return: The role of market illiquidity," European Journal of Operational Research, Elsevier, vol. 323(1), pages 309-322.
• Xu, Zhiwei & Hua, Xia & Zhang, Teng, 2025. "Does official media sentiment matter for the stock market? Evidence from China," Emerging Markets Review, Elsevier, vol. 64(C).
• Luo, Jiawen & Chen, Zhenbiao & Cheng, Mingmian, 2025. "Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects," Journal of Empirical Finance, Elsevier, vol. 80(C).
• Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2025. "Tail risk dynamics of banks with score-driven extreme value models," Journal of Empirical Finance, Elsevier, vol. 81(C).
• Wang, Zhengzhong & Wei, Yunjie & Wang, Shouyang, 2025. "Forecasting the carbon price of China's national carbon market: A novel dynamic interval-valued framework," Energy Economics, Elsevier, vol. 141(C).
• Ben Jabeur, Sami & Bakkar, Yassine & Cepni, Oguzhan, 2025. "Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models," Energy Economics, Elsevier, vol. 141(C).
• Cai, Yifei & Zhang, Yahua & Xu, Yuchao, 2025. "Assessing the influence of unplanned oil supply outages on airline stock connectedness," Energy Economics, Elsevier, vol. 141(C).
• Cao, Jin-Hui & Xie, Chi & Zhou, Yang & Wang, Gang-Jin & Zhu, You, 2025. "Forecasting carbon price: A novel multi-factor spatial-temporal GNN framework integrating Graph WaveNet and self-attention mechanism," Energy Economics, Elsevier, vol. 144(C).
• Wegener, Christoph & Basse, Tobias & Maiani, Stefano & Nguyen, Tam Huu, 2025. "Predictive power of oil prices on CDS spread dynamics of oil-producing countries," Energy Economics, Elsevier, vol. 145(C).
• Wu, Bangzheng, 2025. "The global supply pressure and oil supply–demand shocks: A time-scale and quantile analysis," Energy Economics, Elsevier, vol. 147(C).
• Salisu, Afees A. & Olaniran, Abeeb O. & Vo, Xuan Vinh, 2025. "Geopolitical risk, climate risk and financial innovation in the energy market," Energy, Elsevier, vol. 315(C).
• Bao, Kun & Chen, Denghui & Gu, Chen & Papakroni, Erlina & Stan, Raluca & Wang, Muhan, 2025. "The informational role of forex option volume," International Review of Financial Analysis, Elsevier, vol. 100(C).
• Goodell, John W. & Muckley, Cal B. & Neelakantan, Parvati & Ryan, Darragh & Yu, Pei-Shan, 2025. "AI culture ‘profiling’ and anti-money laundering: Efficacy vs ethics," International Review of Financial Analysis, Elsevier, vol. 101(C).
• Hao, Mengshu & Xu, Yang & Yuan, Peiyao & Chen, Kecai, 2025. "Unveiling the impact of irrelevant answers on analyst forecast errors: A topic modeling approach," International Review of Financial Analysis, Elsevier, vol. 102(C).
• Mercik, Aleksander & Będowska-Sójka, Barbara & Karim, Sitara & Zaremba, Adam, 2025. "Cross-sectional interactions in cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 97(C).
• Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
• Chen, Juan & Xiao, Zuoping, 2025. "Is the business cycle getting hit by climate policy uncertainty in China?," Finance Research Letters, Elsevier, vol. 71(C).
• Jin, Yangsoo, 2025. "Distinctive impacts of ESG pillars on corporate financial performance: A random forest analysis of Korean listed firms," Finance Research Letters, Elsevier, vol. 71(C).
• Darvas, Zsolt & Schepp, Zoltán, 2025. "Forecasting the daily exchange rate of the UK pound sterling against the US dollar," Finance Research Letters, Elsevier, vol. 71(C).
• Proelss, Juliane & Schweizer, Denis & Sévigny, Stéphane, 2025. "PolitiFi: Just another meme, or instrumental for winning elections?," Finance Research Letters, Elsevier, vol. 72(C).
• Wan, Runqing & Xing, Bingxin Ann, 2025. "Can switching between predictive models and the historical average improve bond return predictability?," Finance Research Letters, Elsevier, vol. 75(C).
• Er, Selahattin Tolga & Kantorowicz, Jaroslaw, 2025. "Financial market reaction to the end of the right-wing populist government: The case of Poland," Finance Research Letters, Elsevier, vol. 76(C).
• Kim, Hongjoong & Park, Sungwon & Moon, Kyoung-Sook, 2025. "Markov regime-switching in pricing equity-linked securities: An empirical study for losses in HSCEI-linked products," Finance Research Letters, Elsevier, vol. 76(C).
• Zhang, Junyu & Ruan, Xinfeng, 2025. "Inferring jump dynamics from weekly options: A non-parametric method," Finance Research Letters, Elsevier, vol. 76(C).
• Perlin, Marcelo S. & Foguesatto, Cristian R. & Müller, Fernanda M. & Righi, Marcelo B., 2025. "Can AI beat a naive portfolio? An experiment with anonymized data," Finance Research Letters, Elsevier, vol. 78(C).
• Taussig, Roi D., 2025. "Cash duration, risk, and implications for stock returns," Finance Research Letters, Elsevier, vol. 79(C).
• Gong, Xue & Ji, Shidong & Zhang, Yaojie, 2025. "Attention to climate events and carbon price volatility," Finance Research Letters, Elsevier, vol. 79(C).
• Sharma, Shivani & Sharma, Udayan, 2025. "What does green bond prospectus communicate about credit spread?," Finance Research Letters, Elsevier, vol. 79(C).
• Mananga, Pierre Nkou & Lin, Shiqiang & Zhang, Hairui, 2025. "A network approach to interbank contagion risk in South Africa," Journal of Financial Stability, Elsevier, vol. 77(C).
• Nguyen, Harvey & Pham, Anh Viet & Pham, Man Duy (Marty) & Pham, Mia Hang, 2025. "Climate change and corporate credit worthiness: International evidence," Global Finance Journal, Elsevier, vol. 64(C).
• Zhou, Mingtao & Ma, Yong, 2025. "Climate risk and predictability of global stock market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 101(C).
• Sapkota, Niranjan, 2025. "The crypto collapse chronicles: Decoding cryptocurrency exchange defaults," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
• Leong, Minhao & Alexeev, Vitali & Kwok, Simon, 2025. "Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
• Bauwens, Luc & Xu, Yongdeng, 2025. "The contribution of realized variance–covariance models to the economic value of volatility timing," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1165-1183.
• Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
• Afik, Zvika & Galil, Koresh, 2025. "Have ratings become more accurate?," Journal of Banking & Finance, Elsevier, vol. 170(C).
• Dumitru, Ana Maria H. & Hizmeri, Rodrigo & Izzeldin, Marwan, 2025. "Forecasting the realized variance in the presence of intraday periodicity," Journal of Banking & Finance, Elsevier, vol. 170(C).
• Liu, Yunting & Zhu, Yandi, 2025. "Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 170(C).
• Feng, Guanhao & He, Xin & Wang, Yanchu & Wu, Chunchi, 2025. "Predicting individual corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 171(C).
• Fragkiskos, Apollon & Krasotkina, Olga & Spilker, Harold D. & Wermers, Russ, 2025. "Private Equity Fund Performance: A Time-Series Approach," Journal of Banking & Finance, Elsevier, vol. 177(C).
• Kieren, Pascal & König-Kersting, Christian & Schmidt, Robert & Trautmann, Stefan & Heinicke, Franziska, 2025. "First-order and higher-order inflation expectations: Evidence about Households and Firms," Journal of Economic Behavior & Organization, Elsevier, vol. 233(C).
• Horvath, Ferenc, 2025. "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, vol. 163(C).
• Barroso, Pedro & Detzel, Andrew & Maio, Paulo, 2025. "The volatility puzzle of the beta anomaly," Journal of Financial Economics, Elsevier, vol. 165(C).
• Shi, Qi, 2025. "Technical indicators and aggregate stock returns: An updated look," Journal of Multinational Financial Management, Elsevier, vol. 77(C).
• Liu, Zechu & Nikitopoulos, Christina Sklibosios & Phua, Kenny & Wang, Jianxin, 2025. "Data-driven monetary policy: Evidence from the Bank of Japan’s equity purchase program," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
• Kampouris, Ilias & Mertzanis, Charilaos & Samitas, Aristeidis, 2025. "Natural disaster shocks and commodity market volatility: A machine learning approach," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
• Chiu, I-Chan & Hung, Mao-Wei, 2025. "Finance-specific large language models: Advancing sentiment analysis and return prediction with LLaMA 2," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
• Procasky, William J. & Yin, Anwen, 2025. "Evolution of the relative efficiency of CDS and equity markets in Japan: Does one market have a long-term informational advantage over the other?," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
• Ardakani, Omid M. & Dalko, Viktoria & Shim, Hyeeun, 2025. "Information loss from perception alignment," International Review of Economics & Finance, Elsevier, vol. 97(C).
• Kumar, Satish & Rao, Amar & Dhochak, Monika, 2025. "Hybrid ML models for volatility prediction in financial risk management," International Review of Economics & Finance, Elsevier, vol. 98(C).
• Jakubik, Petr & Moinescu, Bogdan Gabriel, 2025. "Tailored microprudential recommendations for bank profit retention using a risk tolerance framework," International Review of Economics & Finance, Elsevier, vol. 98(C).
• Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2025. "High-dimensional multi-period portfolio allocation using deep reinforcement learning," International Review of Economics & Finance, Elsevier, vol. 98(C).
• Wang, Fenghua & Ye, Qiang & Li, Jiang & Shi, Wen, 2025. "Blockchain adoption and analyst forecast accuracy," Research in International Business and Finance, Elsevier, vol. 73(PA).
• Melo-Velandia, Luis Fernando & Romero, José Vicente & Ramírez-González, Mahicol Stiben, 2025. "The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach," Research in International Business and Finance, Elsevier, vol. 73(PA).
  • Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
• Bouteska, Ahmed & Bhuiyan, Faruk & Sharif, Taimur & Miftah, Badir & Abedin, Mohammad Zoynul, 2025. "Impact of green bonds on traditional equity markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
• Fredj, Imen & Gana, Marjène Rabah & Trabelsi, Samir, 2025. "OCI information and analysts’ forecast accuracy: Evidence from US commercial banks☆," Research in International Business and Finance, Elsevier, vol. 73(PA).
• Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2025. "Volatility forecasting and volatility-timing strategies: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 75(C).
• Yi, Siyu & Li, Sitong & Chen, Gengxuan, 2025. "Banking system stress: Unravelling its influence on U.S. industry risk," Research in International Business and Finance, Elsevier, vol. 76(C).
• Chen, Rui & Jiang, Haiqi & Guo, Tingyu & Fan, Chenyou, 2025. "Can Large Language Models forecast carbon price movements? Evidence from Chinese carbon markets," Research in International Business and Finance, Elsevier, vol. 77(PB).
• Abdul Wahab, Effiezal Aswadi & How, Janice & Ismail, Ismaanzira, 2025. "Overconfident male CEOs and corporate outcomes: The moderating role of female CFOs," Research in International Business and Finance, Elsevier, vol. 77(PB).
• Batra, Shallu & Tiwari, Aviral Kumar & Yadav, Mahender & Danso, Albert, 2025. "Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices," Technological Forecasting and Social Change, Elsevier, vol. 210(C).
• Cai, Yifei & Fu, Xiaowen & Zhang, Yahua, 2025. "Geopolitical risks and airlines stock return — Implications to the financial stability of European airlines," Transport Policy, Elsevier, vol. 170(C), pages 51-57.
• Inês Lisboa & Magali Costa & Carolina Reis, 2025. "Financial reporting quality impact on the firms’ capital structure," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 24(3), pages 310-328, January.
• Malgorzata Maliszewska & Barbara Karlikowska & Jakub Prachowski, 2025. "Analysis of Corporate Insolvency Trends in Poland between 2021 and 2024," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1050-1071.
• Peter Albrecht & Daniel Pastorek & David Manousek, 2025. "Riding the Waves of Crypto Sentiment: Examining the Dynamics Between Returns and Sentiment in the Cryptocurrency Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 75(2), pages 98-127, June.
• Beverly Hirtle & Matthew Plosser, 2025. "Bank Economic Capital," Staff Reports 1144, Federal Reserve Bank of New York.
• Alexander E. Abramov & Maria I. Chernova & Andrey G. Kosyrev, 2025. "Private and Collective Direct Investments in Popular Shares of Russian Companies," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 8-26, February.
• Said Magomedov & Dean Fantazzini, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," JRFM, MDPI, vol. 18(2), pages 1-20, January.
  • Magomedov, Said & Fantazzini, Dean, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," MPRA Paper 123416, University Library of Munich, Germany.
• Matteo Orlandini & Sebastiano Michele Zema & Mauro Napoletano & Giorgio Fagiolo, 2025. "A Network Approach to Volatility Diffusion and Forecasting in Global Financial Markets," GREDEG Working Papers 2025-19, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
• Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Okada, Katsuhiko & Riyanto, Yohanes E. & Zhu, Jiahua, 2025. "Financial forecasting in the lab and the field: Qualified professionals vs. smart students," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156r, Institute of Social and Economic Research, The University of Osaka, revised Sep 2024.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2025. "Financial forecasting in the lab and the field : Qualified professionals vs. smart students," Post-Print hal-05053019, HAL.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156, Institute of Social and Economic Research, The University of Osaka.
• Manaf Ahmed & Said Khalil, 2025. "Sectoral Volatility under Political Uncertainty: An Extended GARCH-X Modeling Framework," Working Papers hal-05087376, HAL.
• Angel Samaniego Alcántar, 2025. "Portfolio Optimization with Long-Short Term Memory Deep Learning (LSTM)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 20(2), pages 1-14, Abril - J.
• Francisco Vargas Serrano & José Arturo Montoya & José del Carmen Jiménez Hernández, 2025. "Selección de cartera: un enfoque de sesgos de comportamiento," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 20(2), pages 1-21, Abril - J.
• Maria Teresa Medeiros Garcia & Carolina e Silva Correia de Carvalho, 2025. "Measuring Sentiment: The Impact on Financial Markets Volatility," Working Papers REM 2025/0365, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Satrajit Mandal & Sujoy Bhattacharya, 2025. "A Fuzzy Jump-Diffusion Option Pricing Model Based on the Merton Formula," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(2), pages 357-380, June.
• Khalid Ul Islam & Umer Mushtaq Lone & Younis Ahmed Gulam & Suhail Ahmad Bhat, 2025. "Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(2), pages 609-630, June.
• Ana Sofia Monteiro & Helder Sebastião & Nuno Silva, 2025. "Prediction and Allocation of Stocks, Bonds, and REITs in the US Market," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1191-1230, March.
• Bhaskar Tripathi & Rakesh Kumar Sharma, 2025. "Cryptocurrency Exchanges and Traditional Markets: A Multi-algorithm Liquidity Comparison Using Multi-criteria Decision Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2649-2677, May.
• Minh Vo, 2025. "Measuring and Forecasting Stock Market Volatilities with High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 65(6), pages 3503-3544, June.
• Sascha Wilkens, 2025. "Pairs trading in the German stock market: is there still life in the old dog?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(2), pages 259-297, June.

2024

• Kim, Hyeongwoo & Son, Jisoo, 2024. "What charge-off rates are predictable by macroeconomic latent factors?," Journal of Financial Stability, Elsevier, vol. 74(C).
  • Kim, Hyeongwoo & Son, Jisoo, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," MPRA Paper 116880, University Library of Munich, Germany.
  • Hyeongwoo Kim & Jisoo Son, 2024. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2024-01, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Jisoo Son, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2023-06, Department of Economics, Auburn University.
• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2024. "Predictive Power of U.S. Macroeconomic Factors for the Dollar/Won Real Exchange Rate," Auburn Economics Working Paper Series auwp2024-02, Department of Economics, Auburn University.
• İsmail Çağrı Özcan, 2024. "The Use of Monte Carlo Simulation in Capital Budgeting: An Implementation on an Airport Privatization," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 39(121), pages 71-87, April.
• Yusuf Bahadır Kavas & Batuhan Medetoğlu, 2024. "Financial Performance Measurement with MAIRCA Method: Application on Turkish Banking Sector," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 39(122), pages 44-58, October.
• Arif Sezgin & Sinan Aytekin & Şakir Sakarya, 2024. "Finansal Performansın Ölçülmesinde Piotroski F-Skoru Bileşenleri ve ÇKKV Yöntemlerinin Bağlantısı: MEREC Tabanlı MARCOS Uygulaması," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(2), pages 367-395.
• İbrahim Tutar & Özge Orbey, 2024. "Start-up Değerlemesi: Yeni bir Yöntem Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(3), pages 549-574.
• Adil Haniev, 2024. "Intangible Assets and US Stock Returns: An analysis using the Index Method, Panel Regression, and Machine Learning," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(3), pages 833-854.
• Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2024. "Message in a bottle: Forecasting wine prices," LIDAM Reprints LFIN 2024006, Université catholique de Louvain, Louvain Finance (LFIN).
• Ажгалиева Д. // Azhgaliyeva D. & Капсалямова З. // Kapsalyamova Z., 2024. "Государственная поддержка в продвижении зеленых облигаций в Азии: эмпирические данные // Policy support in promoting green bonds in Asia: empirical evidence," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2 Special, pages 63-64.
• Michal Mec & Mikulas Zeman & Klara Cermakova, 2024. "Stock market prediction using Generative Adversarial Network (GAN) – Study case Germany stock market," International Journal of Economic Sciences, European Research Center, vol. 13(2), pages 87-103, December.
• Konrad Raczkowski & Jarosław Klepacki, 2024. "Typologia metod prognozowania kursu walutowego," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 3, pages 350-366.
• Alexander E. Abramov & Maria I. Chernova, 2024. "Improving pension savings investing: The case of Russia," Russian Journal of Economics, ARPHA Platform, vol. 10(1), pages 34-59, March.
• Kausik, B.N., 2023. "Equity Premium in Efficient Markets," MPRA Paper 119278, University Library of Munich, Germany.
  • B. N. Kausik, 2024. "Equity Premium in Efficient Markets," Papers 2401.09265, arXiv.org.
• Olkhov, Victor, 2014. "Expressions of market-based correlations between prices and returns of two assets," MPRA Paper 123009, University Library of Munich, Germany.
  • Victor Olkhov, 2024. "Expressions of Market-Based Correlations Between Prices and Returns of Two Assets," Papers 2412.13172, arXiv.org.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," CEIS Research Paper 589, Tor Vergata University, CEIS, revised 20 Dec 2024.
  • Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
• Ishaq Mustapha Akinlaso & Abdessamad Raghibi & Abdul-Baaqi Adebisi Jempeji, 2024. "Do Asian Islamic Equities Offer Diversification Benefits in Cryptocurrency Portfolio in Times of Increased Uncertainty?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(4), pages 1-8.
• Lukman Lasisi & Philip C. Omoke & Afees A. Salisu, 2024. "Climate Policy Uncertainty and Stock Market Volatility," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-6.
• Monia Magnani, 2024. "Can Monetary Policies Inflate a Stock Market Bubble? A Regime Switching Model of Periodically Collapsing Bubbles," BAFFI CAREFIN Working Papers 24231, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Monia Magnani, 2024. "Does Macroeconomic Predictability Enhance the Economic Value of Hedge Funds to Risk-Averse Investors?," BAFFI CAREFIN Working Papers 24232, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin, 2024. "Machine Learning in Portfolio Decisions," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 1, pages 1-72, World Scientific Publishing Co. Pte. Ltd..
  • Manuela Pedio & Massimo Guidolin & Giulia Panzeri, 2024. "Machine Learning in Portfolio Decisions," BAFFI CAREFIN Working Papers 24233, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Muhammd Istan, 2024. "Analysis of the Influence of Assets Structure, Earning Volatility, and Financial Flexibility on Capital Structure and Corporate Performance in Manufacturing Sector Companies on the IDX," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 49-65.
• Svetoslav Borisov, 2024. "Bitcoin – Hedge or Speculative Asset: Analysis of Its Role and Nature," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 148-170.
• Furkan TURKOGLU & Eda GOCECEK & Yavuz YUMRUKUZ, 2024. "Predictive Abilities of Machine Learning and Deep Learning Approaches for Exchange Rate Prediction," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(2), pages 186-210.
• Arturo Pablo Macías Fernández & Ignacio de la Peña Leal, 2024. "Sensibilidad a los tipos de interés soberanos de la cartera de colateral elegible para los préstamos de política monetaria," Occasional Papers 2417, Banco de España.
• Alicia Aguilar & Ricardo Gimeno, 2024. "Discrete Probability Forecasts: What to expect when you are expecting a monetary policy decision," Working Papers 2438, Banco de España.
• Raffaele Santioni & Javier Gil-Bazo, 2024. "Geographic Shareholder Dispersion and Mutual Fund Flow Risk," Working Papers 1440, Barcelona School of Economics.
  • Javier Gil-Bazo & Alexander Kempf & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Temi di discussione (Economic working papers) 1461, Bank of Italy, Economic Research and International Relations Area.
  • Javier Gil-Bazo & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Economics Working Papers 1886, Department of Economics and Business, Universitat Pompeu Fabra.
• Fredy Gamboa-Estrada & José Vicente Romero, 2024. "Geopolitical Risk and Emerging Markets Sovereign Risk Premia," Borradores de Economia 1282, Banco de la Republica de Colombia.
• Martha López & Eduardo Sarmiento Gómez, 2024. "Collateral, output growth, mortgage spread volatility and subsidies in Colombia," Borradores de Economia 1287, Banco de la Republica de Colombia.
• Javier Gil-Bazo & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Economics Working Papers 1886, Department of Economics and Business, Universitat Pompeu Fabra.
  • Raffaele Santioni & Javier Gil-Bazo, 2024. "Geographic Shareholder Dispersion and Mutual Fund Flow Risk," Working Papers 1440, Barcelona School of Economics.
  • Javier Gil-Bazo & Alexander Kempf & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Temi di discussione (Economic working papers) 1461, Bank of Italy, Economic Research and International Relations Area.
• Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
  • Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
• Phạm Thu Hương & Hoàng Mạnh Hùng & Lê Đạt Chí, 2024. "Ứng dụng mô hình F-SCORE cho chiến lược đầu tư cổ phiếu tại Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh," TẠP CHÍ KHOA HỌC ĐẠI HỌC MỞ THÀNH PHỐ HỒ CHÍ MINH - KINH TẾ VÀ QUẢN TRỊ KINH DOANH, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 19(5), pages 46-58.
• Olivier Dessaint & Thierry Foucault & Laurent Fresard, 2024. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," Journal of Finance, American Finance Association, vol. 79(3), pages 2237-2287, June.
  • Foucault, Thierry & Frésard, Laurent, 2021. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," CEPR Discussion Papers 15786, C.E.P.R. Discussion Papers.
• Akihito Yoneyama & Akitaka Tsuchiya & Noritaka Fukuma, 2024. "Changes in Risk Perceptions on Yen Interest Rates and Exchange Rates Observed in Options Markets: Developments in Implied Probability Distributions amid Rate Hikes in the United States and Europe from," Bank of Japan Review Series 24-E-8, Bank of Japan.
• Mohamed Riyath Mohamed Ismail & Aldabbous Nagham, 2024. "Long-Run Volatility Memory Dynamics and Inter-Market Linkages in GCC Equity Markets: Application of DCC-FIGARCH Models," Review of Middle East Economics and Finance, De Gruyter, vol. 20(3), pages 299-329.
• Liu Jinan & Serletis Apostolos, 2024. "Volatility and dependence in cryptocurrency and financial markets: a copula approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 119-149, February.
• Baruník Jozef & Fišer Pavel, 2024. "Co-Jumping of Treasury Yield Curve Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
  • Jozef Barunik & Pavel Fiser, 2019. "Co-jumping of Treasury Yield Curve Rates," Papers 1905.01541, arXiv.org.
• Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
  • Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
  • Roberto Marfe & Julien Penasse, 2024. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 715 JEL Classification: E, Collegio Carlo Alberto.
• Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
• Briac Turquet & Pierre Bajgrowicz & O. Scaillet, 2024. "Mean Reversion Trading on the Naphtha Crack," Swiss Finance Institute Research Paper Series 24-101, Swiss Finance Institute.
• Markus Leippold & Michal Svaton, 2024. "Scheduling Processes and Inference of Scheduled Events From Price Data," Swiss Finance Institute Research Paper Series 24-12, Swiss Finance Institute.
• Soros Chitsiripanich & Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2024. "Smoothing Out Momentum and Reversal," Swiss Finance Institute Research Paper Series 24-47, Swiss Finance Institute.
• Aysun Can Turetken & Markus Leippold, 2024. "Battle of Transformers: Adversarial Attacks on Financial Sentiment Models," Swiss Finance Institute Research Paper Series 24-59, Swiss Finance Institute.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  • Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
• Yicheng Wang & Didier Sornette & Ke Wu & Sandro Claudio Lera, 2024. "Dynamic Influence Networks Self-Organize Towards Sub-Critical Financial Instabilities," Swiss Finance Institute Research Paper Series 24-77, Swiss Finance Institute.
• Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2024. "Randomized Signature Methods in Optimal Portfolio Selection," Swiss Finance Institute Research Paper Series 24-79, Swiss Finance Institute.
• Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
  • Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
• Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis," Working Papers 202437, University of Pretoria, Department of Economics.
  • V. Candila & O. Cepni & G. M. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Carlos Castro-Iragorri & Fabio G√≥mez & Nancy Quiceno, 2024. "Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality," Documentos de Trabajo 21048, Universidad del Rosario.
• López Martha & Sarmiento Gómez Eduardo, 2023. "Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia," Revista de Economía del Rosario, Universidad del Rosario, vol. 26(2), pages 1-29.
  • Martha López & Eduardo Sarmiento G., 2023. "Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia," Borradores de Economia 1243, Banco de la Republica de Colombia.
• Bekaert, Geert & Xu, Nancy & Ye, Tiange, 2024. "Forecasting International Stock Market Variances," CEPR Discussion Papers 19121, C.E.P.R. Discussion Papers.
• Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
  • Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
• Julen Iglesias Tejedor, 2024. "Creación de una cartera de inversión que venza la inflación atendiendo a criterios ESG gestionada mediante machine learning," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 2(5), pages 79-100, Mayo.
• Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2024. "Message in a bottle: Forecasting wine prices," Journal of Wine Economics, Cambridge University Press, vol. 19(1), pages 64-91, February.
  • Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2023. "Message in a Bottle: Forecasting wine prices," LIDAM Discussion Papers LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
• Soumya Ranjan SETHI & Dushyant Ashok MAHADIK, 2024. "Spotting Trouble Before It Starts: Has Financial Distress Prediction Evolved During 1985–2022," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 24(1), pages 181-206.
• Soumya Ranjan Sethi & Dushyant Ashok Mahadik & Rajkiran V. Bilolikar, 2024. "Exploring Trends and Advancements in Financial Distress Prediction Research: A Bibliometric Study," International Journal of Economics and Financial Issues, Econjournals, vol. 14(1), pages 164-179, January.
• Lamine Diane & Pradeep Brijlal, 2024. "Forecasting Stock Market Realized Volatility using Random Forest and Artificial Neural Network in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 5-14, March.
• Emily Groenewald & Gary Van Vuuren, 2024. "Visualisation of Mahalanobis Distances for Trivariate JOINT Distributions," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 203-206, March.
• Christos Christodoulou-Volos & Dikaios Tserkezos, 2024. "The Impact of COVID-19 on the Cypriot Stock Market Dynamics," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 214-221, July.
• Olufemi Peter Alawode & Helen Nwobodo & Afolake Ogunfowora & Alao Olubunmi & Chimeruo Victory Onyeka-Iheme, 2024. "Financial Re-Engineering and Customer Performance of Poultry Business in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 164-173, October.
• Arif Çilek & Onur SeyranlıoÄŸlu, 2024. "Portfolio Optimization with Entropy-CRITIC-IDDWS- PROMETHEE Model in BIST Retail Trade Sector," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 23-35, October.
• Christos Christodoulou-Volos & Dikaios Tserkezos, 2024. "The Impact of COVID-19 and Structural Market Changes on the Greek Stock Market: An Empirical Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 320-326, October.
• Salokhiddin Avazkhodjaev & Nont Dhiensiri & Farkhod Mukhamedov, 2024. "Does Green Energy Investment Effects on Islamic and Conventional Stock Markets? New Evidence from Advanced Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 592-602, January.
• Bharat Kumar Meher & Abhishek Anand & Sunil Kumar & Ramona Birau & Manohar Sing, 2024. "Effectiveness of Random Forest Model in Predicting Stock Prices of Solar Energy Companies in India," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 426-434, March.
• Mirzat Ullah & Kazi Sohag & Farrukh Nawaz & Oleg Mariev & Umar Kayani & Igor Mayburov & Svetlana Doroshenko, 2024. "Impact of Oil Price Shocks on Crypto and Conventional Financial Assets during Financial Crises: Evidence from the Russian Financial Market," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 472-483, July.
• Faruk Dayi & Ali Cilesiz & Mustafa Yucel, 2024. "Strategic Management of Clean Energy Investments: Financial Performance Insights by Using BWM-based VIKOR and TOPSIS Methods," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 566-574, September.
• Salokhiddin Avazkhodjaev & Nont Dhiensiri & Eshmurod Rakhimov, 2024. "Effects of Crude Oil Price Uncertainty on Fossil Fuel Production, Clean Energy Consumption, and Output Growth: An Empirical Study of the U.S," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 371-383, November.
• Farrukh Nawaz & Mrestyal Khan & Umar Kayani & Indry Aristianto Pradipta & Aulia Luqman Aziz, 2024. "Impact of Volatility Spillovers upon Electric Utilities during the Russia-Ukraine Conflict," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 597-604, November.
• Yu, Xing & Li, Yanyan & Zhao, Qian, 2024. "Research on optimization strategy of futures hedging dependent on market state," Applied Energy, Elsevier, vol. 373(C).
• Díaz, Antonio & Escribano, Ana & Esparcia, Carlos, 2024. "Sustainable risk preferences on asset allocation: a higher order optimal portfolio study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
• Hoang, Lai & Vo, Duc Hong, 2024. "Google search and cross-section of cryptocurrency returns and trading activities," Journal of Behavioral and Experimental Finance, Elsevier, vol. 44(C).
• Fu, Renhui & Ma, Chen & Zeng, Yamin & Zhang, Junsheng, 2024. "Determinants and consequences of sales/production report issuance," The British Accounting Review, Elsevier, vol. 56(5).
• Gu, Zhenjiang & Lu, Louise Yi & Yu, Yangxin, 2024. "CEO equity incentive duration and expected crash risk," The British Accounting Review, Elsevier, vol. 56(6).
• Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
• Tu, Xueyong & Li, Bin, 2024. "Robust portfolio selection with smart return prediction," Economic Modelling, Elsevier, vol. 135(C).
• Seo, Myung Hwan & Koo, Bonsoo & Yang, Yangzhuoran Fin, 2024. "Nonlinear dynamics of Kimchi premium," Economic Modelling, Elsevier, vol. 135(C).
• Fiszeder, Piotr & Małecka, Marta & Molnár, Peter, 2024. "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies," Economic Modelling, Elsevier, vol. 141(C).
• Dufera, Tamirat Temesgen, 2024. "Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
• Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
• Ji, Hongyun & Zhang, Han, 2024. "Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
• Wang, Jia & Wang, Xinyi & Wang, Xu, 2024. "International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
• Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
• Tang, Pan & Tang, Tiantian & Lu, Chennuo, 2024. "Predicting systemic financial risk with interpretable machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
• Joo, Young C. & Park, Sung Y., 2024. "Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Herrera, Rodrigo & Piña, Marco, 2024. "Market risk modeling with option-implied covariances and score-driven dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Cai, Yi & Tang, Zhenpeng & Chen, Ying, 2024. "Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Tang, Pan & Xu, Wei & Wang, Haosen, 2024. "Network-Based prediction of financial cross-sector risk spillover in China: A deep learning approach," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Kao, Yu-Sheng & Day, Min-Yuh & Chou, Ke-Hsin, 2024. "A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Xu, Yuhong & Zhao, Xinyao, 2024. "How does node centrality in a financial network affect asset price prediction?," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Maki, Daiki, 2024. "Evaluation of volatility spillovers for asymmetric realized covariance," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Go, You-How & Lau, Wee-Yeap, 2024. "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Yang, Jinyu & Dong, Dayong & Cao, Jiawei, 2024. "Seemingly manipulated anomaly: Evidence from corporate site visits," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Sanford, Anthony, 2024. "Information content of option prices: Comparing analyst forecasts to option-based forecasts," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Tzeng, Kae-Yih & Su, Yi-Kai, 2024. "Can U.S. macroeconomic indicators forecast cryptocurrency volatility?," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Chen, Yan & Zhang, Lei & Zhang, Feipeng, 2024. "Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Li, Zhimin & Zhu, Weidong & Wu, Yong & Wu, Zihao, 2024. "Research on information fusion of security analysts’ stock recommendations based on two-dimensional D-S evidence theory," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2024. "Cross-country factor momentum," Economics Letters, Elsevier, vol. 235(C).
• Zeng, Sipeng & Li, Yingmei Esme, 2024. "Braveheart: On the divergence of recommendations between normal and star analysts," Economics Letters, Elsevier, vol. 240(C).
• Doan, Bao & Jayasuriya, Dulani & Lee, John B. & Reeves, Jonathan J., 2024. "Cryptocurrency systematic risk dynamics," Economics Letters, Elsevier, vol. 241(C).
• Jahan-Pavar, Mohammad R. & Lang, William J., 2024. "Which daily equity returns improve output forecasts?," Economics Letters, Elsevier, vol. 243(C).
• Harel, Arie & Harpaz, Giora, 2024. "Why stock analysts may make wrong predictions?," Economics Letters, Elsevier, vol. 244(C).
• Krieg, Kimberly S. & Siagian, Ferdinand & Wu, Juan, 2024. "Does analyst forecast informativeness affect managers’ financial reporting incentives?," Economics Letters, Elsevier, vol. 244(C).
• Ding, Yi & Li, Yingying & Liu, Guoli & Zheng, Xinghua, 2024. "Stock co-jump networks," Journal of Econometrics, Elsevier, vol. 239(2).
• Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
• Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2024. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Econometrics and Statistics, Elsevier, vol. 32(C), pages 34-56.
  • Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
  • Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023. "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers w202309, Banco de Portugal, Economics and Research Department.
• Fu, Fanjie & Fang, Jing & Zhang, Fan & Yao, Shujie & Ou, Jinghua, 2024. "CEOs' hometown connections and corporate risk-taking: Evidence from China," Emerging Markets Review, Elsevier, vol. 60(C).
• Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
• Yin, Ximing & Yang, Ge, 2024. "Instantaneous volatility of the yield curve, variance risk premium and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 77(C).
• Jiang, Fuwei & Kang, Jie & Meng, Lingchao, 2024. "Certainty of uncertainty for asset pricing," Journal of Empirical Finance, Elsevier, vol. 78(C).
• Barroso, Pedro & Maio, Paulo, 2024. "The risk–return tradeoff among equity factors," Journal of Empirical Finance, Elsevier, vol. 78(C).
• Xu, Hongyi & Katselas, Dean & Drienko, Jo, 2024. "A portfolio-level, sum-of-the-parts approach to return predictability," Journal of Empirical Finance, Elsevier, vol. 78(C).
• Trimborn, Simon & Peng, Hanqiu & Chen, Ying, 2024. "Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain," Journal of Empirical Finance, Elsevier, vol. 78(C).
• Peng, Yueqian & Shi, Li & Shi, Xiaojun & Tan, Songtao, 2024. "Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China," Journal of Empirical Finance, Elsevier, vol. 78(C).
• Watanabe, Toshiaki & Nakajima, Jouchi, 2024. "High-frequency realized stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 79(C).
• Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
• Zheng, Li & Sun, Yuying & Wang, Shouyang, 2024. "A novel interval-based hybrid framework for crude oil price forecasting and trading," Energy Economics, Elsevier, vol. 130(C).
• Zadeh, Omid Razavi & Romagnoli, Silvia, 2024. "Financing sustainable energy transition with algorithmic energy tokens," Energy Economics, Elsevier, vol. 132(C).
• Lyócsa, Štefan & Todorova, Neda, 2024. "Forecasting of clean energy market volatility: The role of oil and the technology sector," Energy Economics, Elsevier, vol. 132(C).
• Haas, Christian & Budin, Constantin & d’Arcy, Anne, 2024. "How to select oil price prediction models — The effect of statistical and financial performance metrics and sentiment scores," Energy Economics, Elsevier, vol. 133(C).
• Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).
• Fu, Tong & Huang, Dasen & Feng, Lingbing & Tang, Xiaoping, 2024. "More is better? The impact of predictor choice on the INE oil futures volatility forecasting," Energy Economics, Elsevier, vol. 134(C).
• Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
• Nygaard, Knut & Sørensen, Lars Qvigstad, 2024. "Betting on war? Oil prices, stock returns, and extreme geopolitical events," Energy Economics, Elsevier, vol. 136(C).
• Barbosa, Maria de Fatima & Street, Alexandre & Fanzeres, Bruno, 2024. "A Tailored Derivative Instrument to Mitigate the Price-and-Quantity Risk Faced by Wind Power Companies," Energy Economics, Elsevier, vol. 136(C).
• Kliber, Agata & Będowska-Sójka, Barbara, 2024. "Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy," Energy Economics, Elsevier, vol. 138(C).
• Basher, Syed Abul & Sadorsky, Perry, 2024. "Do climate change risks affect the systemic risk between the stocks of clean energy, electric vehicles, and critical minerals? Analysis under changing market conditions," Energy Economics, Elsevier, vol. 138(C).
• Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
• Tian, Guangning & Peng, Yuchao & Du, Huancheng & Meng, Yuhao, 2024. "Forecasting crude oil returns in different degrees of ambiguity: Why machine learn better?," Energy Economics, Elsevier, vol. 139(C).
• Sánchez-García, Javier & Mattera, Raffaele & Cruz-Rambaud, Salvador & Cerqueti, Roy, 2024. "Measuring financial stability in the presence of energy shocks," Energy Economics, Elsevier, vol. 139(C).
• Zhao, Yuan & Gong, Xue & Zhang, Weiguo & Xu, Weijun, 2024. "Forecasting carbon futures returns using feature selection and Markov chain with sample distribution," Energy Economics, Elsevier, vol. 140(C).
• Lyócsa, Štefan & Todorova, Neda, 2024. "What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty," Energy Economics, Elsevier, vol. 140(C).
• Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
• He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
• Trabelsi, Nader & Umar, Zaghum & Dogah, Kingsley E. & Vo, Xuan Vinh, 2024. "Are investment grade Sukuks decoupled from the conventional yield curve?," International Review of Financial Analysis, Elsevier, vol. 91(C).
• Zeng, Hongjun & Abedin, Mohammad Zoynul & Zhou, Xiangjing & Lu, Ran, 2024. "Measuring the extreme linkages and time-frequency co-movements among artificial intelligence and clean energy indices," International Review of Financial Analysis, Elsevier, vol. 92(C).
• Wang, Yuejing & Ye, Wuyi & Jiang, Ying & Liu, Xiaoquan, 2024. "Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model," International Review of Financial Analysis, Elsevier, vol. 92(C).
• Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024. "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, vol. 92(C).
• Lang, Chunlin & Xu, Danyang & Corbet, Shaen & Hu, Yang & Goodell, John W., 2024. "Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
• Ahmed, Mohamed Shaker & Elnahass, Marwa, 2024. "Being famous matters: Evidence from cash flow volatility," International Review of Financial Analysis, Elsevier, vol. 93(C).
• Karim, Sitara & Shafiullah, Muhammad & Naeem, Muhammad Abubakr, 2024. "When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
• Parnes, Dror & Gormus, Alper, 2024. "Prescreening bank failures with K-means clustering: Pros and cons," International Review of Financial Analysis, Elsevier, vol. 93(C).
• Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Guo, Yongzhen & Wang, Yinghuan, 2024. "It is a small world: The effect of analyst-media school ties on analyst performance," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2024. "Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2024. "Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Suzuki, Masataka, 2024. "A consumption-based term structure model of bonds and equity," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Huang, Yujun, 2024. "Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models," International Review of Financial Analysis, Elsevier, vol. 94(C).
• Biondo, Alessio Emanuele & Mazzarino, Laura & Pluchino, Alessandro, 2024. "Trading strategies and Financial Performances: A simulation approach," International Review of Financial Analysis, Elsevier, vol. 95(PB).
• Dainelli, Francesco & Bet, Gianmarco & Fabrizi, Eugenio, 2024. "The financial health of a company and the risk of its default: Back to the future," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  • Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
• Peng, Yaohao & de Moraes Souza, João Gabriel, 2024. "Chaos, overfitting and equilibrium: To what extent can machine learning beat the financial market?," International Review of Financial Analysis, Elsevier, vol. 95(PB).
• Fallah, Mir Feiz & Pourmansouri, Rezvan & Ahmadpour, Bahador, 2024. "Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
• Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
• Ben Hamida, Amal & de Peretti, Christian & Belkacem, Lotfi, 2024. "The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?," International Review of Financial Analysis, Elsevier, vol. 95(PC).
• Cakici, Nusret & Zaremba, Adam, 2024. "What drives stock returns across countries? Insights from machine learning models," International Review of Financial Analysis, Elsevier, vol. 96(PA).
• Ardakani, Omid M., 2024. "Portfolio optimization with transfer entropy constraints," International Review of Financial Analysis, Elsevier, vol. 96(PA).
• Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).
• Schlosky, Minh Tam Tammy & Karadas, Serkan & Stivers, Adam, 2024. "Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles," International Review of Financial Analysis, Elsevier, vol. 96(PB).
• Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024. "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, vol. 59(C).
• Pelster, Matthias & Val, Joel, 2024. "Can ChatGPT assist in picking stocks?," Finance Research Letters, Elsevier, vol. 59(C).
• Lalwani, Vaibhav, 2024. "Incorporating green assets in equity portfolios," Finance Research Letters, Elsevier, vol. 59(C).
• Wang, Peiwen & Huang, Guanglin, 2024. "Measuring systemic risk contribution: A higher-order moment augmented approach," Finance Research Letters, Elsevier, vol. 59(C).
• Gould, John & Sun, Zhiyue & Yang, Joey W., 2024. "ETF MAX and MIN effects," Finance Research Letters, Elsevier, vol. 60(C).
• Kwon, Ji Ho & Sohn, Bumjean, 2024. "The ICAPM and empirical pricing factors: A simulation study," Finance Research Letters, Elsevier, vol. 60(C).
• Stein, Roberto, 2024. "More than meets the eye: On the relationship between skewness and expected returns," Finance Research Letters, Elsevier, vol. 60(C).
• Zhang, Xiaoyun & Guo, Qiang, 2024. "How useful are energy-related uncertainty for oil price volatility forecasting?," Finance Research Letters, Elsevier, vol. 60(C).
• Biktimirov, Ernest N. & Sokolyk, Tatyana & Ayanso, Anteneh, 2024. "What is behind housing sentiment?," Finance Research Letters, Elsevier, vol. 60(C).
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2024. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," Finance Research Letters, Elsevier, vol. 61(C).
  • Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
• Taussig, Roi D., 2024. "Pension expenses, risk, and implications for stock returns," Finance Research Letters, Elsevier, vol. 61(C).
• Liu, Dinggao & Chen, Kaijie & Cai, Yi & Tang, Zhenpeng, 2024. "Interpretable EU ETS Phase 4 prices forecasting based on deep generative data augmentation approach," Finance Research Letters, Elsevier, vol. 61(C).
• Li, Pan & Chen, Kecai & Zhu, Xiaoneng, 2024. "Extreme Sentiment and Jumps in Analyst Forecast Dispersion," Finance Research Letters, Elsevier, vol. 62(PA).
• Bock, J. & Geissel, S., 2024. "Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency," Finance Research Letters, Elsevier, vol. 62(PA).
• Albers, Stefan & Kestner, Lars N., 2024. "The daily rise and fall of the VIX1D: Causes and solutions of its overnight bias," Finance Research Letters, Elsevier, vol. 62(PA).
• Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," Finance Research Letters, Elsevier, vol. 62(PB).
  • Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," LSE Research Online Documents on Economics 122592, London School of Economics and Political Science, LSE Library.
  • Kemal Kirtac & Guido Germano, 2024. "Sentiment trading with large language models," Papers 2412.19245, arXiv.org.
• Ouyang, Minhua & Xiao, Hailian, 2024. "Tail risk spillovers among Chinese stock market sectors," Finance Research Letters, Elsevier, vol. 62(PB).
• Obrimah, Oghenovo A., 2024. "A parsimonious analytically specified general equilibrium structure that spans discount rates," Finance Research Letters, Elsevier, vol. 62(PB).
• Li, Wei & Zhang, Junchao & Cao, Xiangye & Han, Wei, 2024. "Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?," Finance Research Letters, Elsevier, vol. 62(PB).
• Li, Xiaodan & Gong, Xue & Xing, Lu, 2024. "The impact of presidential economic approval rating on stock volatility: An industrial perspective," Finance Research Letters, Elsevier, vol. 63(C).
• Jing, Zhongbo & Li, Qin & Zhao, Hongyi & Zhao, Yang, 2024. "Predicting stock price crash risk in China: A modified graph WaveNet model," Finance Research Letters, Elsevier, vol. 64(C).
• Castro-Iragorri, Carlos & Gómez, Fabio & Quiceno, Nancy, 2024. "Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality," Finance Research Letters, Elsevier, vol. 65(C).
• Ma, Feng & Lyu, Zhichong & Li, Haibo, 2024. "Can ChatGPT predict Chinese equity premiums?," Finance Research Letters, Elsevier, vol. 65(C).
• Zhang, Yu & Zhao, Mengxiang, 2024. "Picking funds in China," Finance Research Letters, Elsevier, vol. 67(PA).
• Göncü, Ahmet & Kuzubaş, Tolga U. & Saltoğlu, Burak, 2024. "Predicting oil prices: A comparative analysis of machine learning and image recognition algorithms for trend prediction," Finance Research Letters, Elsevier, vol. 67(PB).
• Wang, Wenhao & Zhang, Qingyi & An, Pengda & Cai, Feifei, 2024. "Momentum and reversal strategies with low uncertainty," Finance Research Letters, Elsevier, vol. 68(C).
• Liu, Li, 2024. "Economic uncertainty and time-varying return predictability," Finance Research Letters, Elsevier, vol. 68(C).
• He, Yun & Li, Wei & Tan, Xiaofen & Wang, Yufan, 2024. "The time-varying interaction of northbound capital flows and stock market performance in China," Finance Research Letters, Elsevier, vol. 69(PA).
• Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024. "Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments," Finance Research Letters, Elsevier, vol. 69(PB).
  • Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat, 2024. "Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments," Working Papers 202435, University of Pretoria, Department of Economics.
• Zhang, Li & Wang, Lu & Nguyen, Thong Trung & Ren, Ruiyi, 2024. "Volatility forecasting of clean energy ETF using GARCH-MIDAS with neural network model," Finance Research Letters, Elsevier, vol. 70(C).
• Bojaj, Martin M. & Aharon, David Y., 2024. "Financial measures and banking crisis: New evidence," Finance Research Letters, Elsevier, vol. 70(C).
• Jiang, Fuwei & Ma, Tian & Zhu, Feifei, 2024. "Fundamental characteristics, machine learning, and stock price crash risk," Journal of Financial Markets, Elsevier, vol. 69(C).
• Carro, Adrian & Stupariu, Patricia, 2024. "Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market," Journal of Financial Stability, Elsevier, vol. 71(C).
• Siebenbrunner, Christoph & Hafner-Guth, Martin & Spitzer, Ralph & Trappl, Stefan, 2024. "Assessing the systemic risk impact of bank bail-ins," Journal of Financial Stability, Elsevier, vol. 71(C).
• Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2024. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," Journal of Financial Stability, Elsevier, vol. 73(C).
  • Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," CEPR Discussion Papers 14259, C.E.P.R. Discussion Papers.
  • Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers 834, Bank for International Settlements.
• Kim, Hyeongwoo & Son, Jisoo, 2024. "What charge-off rates are predictable by macroeconomic latent factors?," Journal of Financial Stability, Elsevier, vol. 74(C).
  • Hyeongwoo Kim & Jisoo Son, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2023-06, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Jisoo Son, 2024. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2024-01, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Son, Jisoo, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," MPRA Paper 116880, University Library of Munich, Germany.
• Christopoulos, Andreas D. & Barratt, Joshua G. & Ilut, Daniel C., 2024. "Synthetic cap rate indices (1991-Covid era)," Global Finance Journal, Elsevier, vol. 60(C).
• Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Deep reinforcement learning for portfolio selection," Global Finance Journal, Elsevier, vol. 62(C).
• Ghaemi Asl, Mahdi & Ben Jabeur, Sami & Hosseini, Seyedeh Sana & Tajmir Riahi, Hamed, 2024. "Fintech's impact on conventional and Islamic sustainable equities: Short- and long-term contributions of the digital financial ecosystem," Global Finance Journal, Elsevier, vol. 62(C).
• Siburg, Karl Friedrich & Strothmann, Christopher & Weiß, Gregor, 2024. "Comparing and quantifying tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 95-103.
• Zhao, Xiaojuan & Wang, Ye & Liu, Weiyi, 2024. "Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
• Bas, Tugba & Malki, Issam & Sivaprasad, Sheeja, 2024. "Connectedness between central bank digital currency index, financial stability and digital assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
• Poli, Federica & Rossi, Simone & Borroni, Mariarosa, 2024. "Fall of dwarfs: micro and macroeconomic determinants of the disappearance of European small banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
• Huang, Zih-Chun & Sangiorgi, Ivan & Urquhart, Andrew, 2024. "Forecasting Bitcoin volatility using machine learning techniques," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
• Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2024. "The profitability of lead–lag arbitrage at high frequency," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1002-1021.
  • Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2022. "The Profitability of Lead-Lag Arbitrage at High-Frequency," Working Papers 22-5, HEC Montreal, Canada Research Chair in Risk Management.
• Berrisch, Jonathan & Ziel, Florian, 2024. "Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1568-1586.
• Call, Andrew C. & Hribar, Paul & Skinner, Douglas J. & Volant, David, 2024. "Corporate managers’ perspectives on forward-looking guidance: Survey evidence," Journal of Accounting and Economics, Elsevier, vol. 78(2).
• Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
• Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
• Bao, Te & Füllbrunn, Sascha & Pei, Jiaoying & Zong, Jichuan, 2024. "Reading the market? Expectation coordination and theory of mind," Journal of Economic Behavior & Organization, Elsevier, vol. 219(C), pages 510-527.
• Zhang, Li & Liang, Chao & Huynh, Luu Duc Toan & Wang, Lu & Damette, Olivier, 2024. "Measuring the impact of climate risk on renewable energy stock volatility: A case study of G20 economies," Journal of Economic Behavior & Organization, Elsevier, vol. 223(C), pages 168-184.
• Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
  • Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
  • Roberto Marfe & Julien Penasse, 2024. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 715 JEL Classification: E, Collegio Carlo Alberto.
• Cao, Sean & Jiang, Wei & Wang, Junbo & Yang, Baozhong, 2024. "From Man vs. Machine to Man + Machine: The art and AI of stock analyses," Journal of Financial Economics, Elsevier, vol. 160(C).
• Biktimirov, Ernest N. & Sokolyk, Tatyana & Ayanso, Anteneh, 2024. "Unpacking the relation between media sentiment and house prices: A topic modeling approach," Journal of Housing Economics, Elsevier, vol. 66(C).
• Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
• Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024. "On the estimation of Value-at-Risk and Expected Shortfall at extreme levels," Journal of Commodity Markets, Elsevier, vol. 34(C).
• Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
• Ma, Yong & Zhou, Mingtao & Li, Shuaibing, 2024. "Weathering market swings: Does climate risk matter for agricultural commodity price predictability?," Journal of Commodity Markets, Elsevier, vol. 36(C).
• Mousavi, Mohammad Mahdi & Gozgor, Giray & Acheampong, Albert, 2024. "Do oil market shocks affect financial distress? Evidence from firm-level global data," Journal of Commodity Markets, Elsevier, vol. 36(C).
• Ewald, Christian Oliver & Li, Yaoyu, 2024. "The role of news sentiment in salmon price prediction using deep learning," Journal of Commodity Markets, Elsevier, vol. 36(C).
• Li, Kaixin & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil returns with oil-related industry ESG indices," Journal of Commodity Markets, Elsevier, vol. 36(C).
• Tse, Tiffany Tsz Kwan & Hanaki, Nobuyuki & Mao, Bolin, 2024. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," Journal of Economic Psychology, Elsevier, vol. 102(C).
  • Tiffany Tsz Kwan TSE & Nobuyuki HANAKI & Bolin MAO, 2022. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," ISER Discussion Paper 1194r, Institute of Social and Economic Research, The University of Osaka, revised Mar 2024.
  • Tiffany Tsz Kwan Tse & Nobuyuki Hanaki & Bolin Mao, 2022. "Beware the Performance of an Algorithm Before Relying on it: Evidence from a Stock Price Forecasting Experiment," ISER Discussion Paper 1194, Institute of Social and Economic Research, The University of Osaka.
• Rivera-Alonso, David & Iglesias, Emma M., 2024. "Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?," Resources Policy, Elsevier, vol. 90(C).
• Sen, Chitrakalpa & Chakrabarti, Gagari, 2024. "Beyond the glitter: An empirical assessment of the true risk and hedging role of precious metals," Resources Policy, Elsevier, vol. 96(C).
• Wu, Xinyu & Qian, Jia & Zhao, Xiaohan, 2024. "Forecasting Chinese stock market volatility with option-implied risk aversion: Evidence from extended realized EGARCH-MIDAS approach," Pacific-Basin Finance Journal, Elsevier, vol. 83(C).
• Park, Dojoon & Hahn, Jaehoon & Eom, Young Ho, 2024. "Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
• Deng, Shangkun & Luo, Qunfang & Zhu, Yingke & Ning, Hong & Shimada, Tatsuro, 2024. "Financial risk forewarning with an interpretable ensemble learning approach: An empirical analysis based on Chinese listed companies," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
• Le, Cao Hoang Anh & Shan, Yaowen & Taylor, Stephen, 2024. "International economic policy uncertainty and analysts' earnings forecasts," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
• Tang, Wenjin & Bu, Hui & Ji, Yuqiong & Li, Zhongfei, 2024. "Market uncertainty and information content in complex seasonality of prices," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
• Wu, Xinyu & Zhao, An & Wang, Yuyao & Han, Yang, 2024. "Forecasting Chinese stock market volatility with high-frequency intraday and current return information," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
• Zhong, Hao & He, Xiaoxiao & Li, Yuqi, 2024. "Is there a time-series momentum effect in the Asian crude oil futures market?," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
• Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024. "Energy-related uncertainty and international stock market volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
  • Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2023. "Energy-Related Uncertainty and International Stock Market Volatility," Working Papers 202336, University of Pretoria, Department of Economics.
• Atance, David & Serna, Gregorio, 2024. "Time-varying expected returns, conditional skewness and Bitcoin return predictability," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).
• Huang, Alex YiHou, 2024. "Mechanisms of overpricing: An investigation on momentum crashes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 118-142.
• Luo, Tao & Sun, Huaping & Zhang, Lixia & Bai, Jiancheng, 2024. "Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 597-611.
• Li, Xiaodan & Gong, Xue & Ge, Futing & Huang, Jingjing, 2024. "Forecasting stock volatility using pseudo-out-of-sample information," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 123-135.
• Peterburgsky, Stanley, 2024. "Size, value and volatility," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 752-763.
• Huang, Mu-Nan & Lee, Han-Hsing, 2024. "Inter-industry network and credit risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 598-625.
• Nasreen, Samia & Tiwari, Aviral Kumar & Goodell, John W. & Tedeschi, Marco, 2024. "Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1556-1592.
• Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2024. "Forecasting the effect of extreme sea-level rise on financial market risk," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 1-27.
• Sato, Ayano & Nakata, Hayato & Percy, Jay, 2024. "Time-variant safe haven currencies," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 316-328.
• Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024. "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 673-711.
• Deprez, Niek & Frömmel, Michael, 2024. "Are simple technical trading rules profitable in bitcoin markets?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 858-874.
• Abdelaziz Eissa, Mohamed & Al Refai, Hisham, 2024. "Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study," International Review of Economics & Finance, Elsevier, vol. 94(C).
• Patra, Saswat, 2024. "An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting," International Review of Economics & Finance, Elsevier, vol. 94(C).
• He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024. "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, vol. 95(C).
• Zhang, Xincheng & Wu, Shaojiang, 2024. "Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market," International Review of Economics & Finance, Elsevier, vol. 96(PB).
• Aspris, Angelo & Malloch, Hamish & Svec, Jiri, 2024. "Option implied dividends and the market risk premium," International Review of Economics & Finance, Elsevier, vol. 96(PB).
• Liu, Qiming & Liu, Zhenya & Moussa, Faten & Mu, Yuhao, 2024. "International capital flow in a period of high inflation: The case of China," Research in International Business and Finance, Elsevier, vol. 67(PB).
• Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024. "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, vol. 67(PB).
• Esparcia, Carlos & López, Raquel, 2024. "Performance of crypto-Forex portfolios based on intraday data," Research in International Business and Finance, Elsevier, vol. 69(C).
• Pan, Zhigang & Bai, Zhihong & Xing, Xiaochao & Wang, Zhufeng, 2024. "US inflation and global commodity prices: Asymmetric interdependence," Research in International Business and Finance, Elsevier, vol. 69(C).
• Xing, Jin & Chi, Guotai & Pan, Ancheng, 2024. "Instance-dependent misclassification cost-sensitive learning for default prediction," Research in International Business and Finance, Elsevier, vol. 69(C).
• Yang, Jinyu & Xia, Guoen & Dong, Dayong, 2024. "Placebo in the random walk of stock price: Momentum effect of corporate site visits," Research in International Business and Finance, Elsevier, vol. 70(PB).
• Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
• Wang, Jingya & Taylor, Alex P., 2024. "Predicting consumption-wealth ratio changes and stock market returns," Research in International Business and Finance, Elsevier, vol. 71(C).
• Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
• Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
• Brum-Civelli, Conrado & Fried-Gindel, Alejandro & Garcia-Hiernaux, Alfredo, 2024. "IFCI-SA: International financial conditions index for South American economies," Research in International Business and Finance, Elsevier, vol. 72(PA).
  • Conrado Brum Civelli & Alejandro Fried Gindel & Alfredo Garcia-Hiernaux, 2023. "IFCI-SA. An International Financial Conditions Index for South American Economies," Documentos de trabajo 2023006, Banco Central del Uruguay.
• Fu, Fanjie & Fang, Jing & Yang, Mei & Yao, Shujie, 2024. "Institutional investor horizons and stock price crash risk," Research in International Business and Finance, Elsevier, vol. 72(PA).
• Galbraith, James K., 2024. "La medicina medieval de la economía ortodoxa contra la inflación," El Trimestre Económico, Fondo de Cultura Económica, vol. 91(362), pages 409-414, abril-jun.
• Stiglitz, Joseph E., 2024. "Neoliberalismo, economía keynesiana y la respuesta a la inflación actual," El Trimestre Económico, Fondo de Cultura Económica, vol. 91(363), pages 707-749, julio-sep.
• Ziwen Gao & Steven F. Lehrer & Tian Xie & Xinyu Zhang, 2024. "Averaging Heterogeneous Autoregression Models with Heteroskedastic Errors: Theory and an Application to Cryptocurrency Volatility Forecasting," Advances in Econometrics, in: Essays in Honor of Subal Kumbhakar, volume 46, pages 99-131, Emerald Group Publishing Limited.
• Stiven Agusta & Fuad Rakhman & Jogiyanto Hartono Mustakini & Singgih Wijayana, 2024. "Enhancing the accuracy of stock return movement prediction in Indonesia through recent fundamental value incorporation in multilayer perceptron," Asian Journal of Accounting Research, Emerald Group Publishing Limited, vol. 9(4), pages 358-377, July.
• Ting He & Kenneth Zheng, 2024. "Rational expectations tests on financial analysts’ cash flow forecasts," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 21(2), pages 606-638, November.
• Amritkant Mishra & Ajit Kumar Dash, 2024. "Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, vol. 17(1), pages 29-48, May.
• Trung Hai Le, 2024. "Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 25(1), pages 160-177, January.
• Rama K. Malladi & Theodore P. Byrne & Pallavi Malladi, 2024. "Integrating corporate social responsibility with financial outcomes: stock performance of firms hiring US veterans during COVID-19," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 17(1), pages 39-63, September.
• Demetri Tsanacas, 2024. "Extreme Weather Patterns and Risk Assessment Strategies in the Banking Industry: A Survey," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 14(1), pages 3-11.
• Jaroslaw Klepacki, 2024. "Co-variance in Action: Analyzing the Impact of EUR/USD Exchange Rate Changes on Polish Zloty (PLN) Valuation (2019–2022) as a Predictive Tool in Forex Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 952-966.
• Bernard Kokczynski & Dorota Witkowska & Blazej Socha, 2024. "Predicting Bankruptcy: Insights from Polish Non-Public Companies (2019–2022)," European Research Studies Journal, European Research Studies Journal, vol. 0(Special A), pages 252-264.
• Susana Calao & José I. Jarne & David Wroblewski, 2024. "Earnings Forecasts Accuracy: International Evidence of the Impact of the Covid-19 Pandemic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 74(4), pages 473-499, October.
• Karel Janda & Mathieu Petit, 2024. "Analyzing Decision-Making in Deep-Q Reinforcement Learning for Trading: A Case Study on Tesla Company and its Supply Chain," Working Papers IES 2024/40, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2024.
• Jens H. E. Christensen & Mark M. Spiegel, 2024. "Inflation Expectations, Liquidity Premia and Global Spillovers in Japanese Bond Markets," Working Paper Series 2024-12, Federal Reserve Bank of San Francisco.
• Alexander E. Abramov & Maria I. Chernova, 2024. "IPO of Russian Companies: Theory, Indicators, Trends and Prospects," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 42-60, December.
• Nicoleta Valentina Florea & Gabriel Croitoru & Georgiana Radu (Cârstea) & Daria Florea, 2024. "The Analysis of the Impact of Digital Product Innovation and Human Resources Specialists on Intention to Use Artificial Intelligence in Financial Banking System," Journal of Financial Studies, Institute of Financial Studies, vol. 16(9), pages 96-110, May.
• Dean Fantazzini, 2024. "Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets," JRFM, MDPI, vol. 17(6), pages 1-44, June.
  • Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
• Diego Alejandro Martínez Cruz & Philip Rory Symington Alzate, 2024. "Robust Assessment of External Vulnerabilities in an Emerging Market During Stress Scenarios," IHEID Working Papers 15-2024, Economics Section, The Graduate Institute of International Studies.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers 2024-20, University of Graz, Department of Economics.
• Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Post-Print hal-04395168, HAL.
• Karlsson, Sune & Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2024. "US Interest Rates: Are Relations Stable?," Working Papers 2024:3, Örebro University, School of Business.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2024. "VAR Models with Fat Tails and Dynamic Asymmetry," Working Papers 2024:8, Örebro University, School of Business.
• Sebastián Román & Emiliano Carlevaro & Martín Dutto, 2024. "Estimación de la compensación por inflación en la curva de rendimientos de bonos argentinos," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 62(1), pages 71-109, Diciembre.
• Jukonis, Audrius & Letizia, Elisa & Rousová, Linda, 2022. "The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector," Working Paper Series 2756, European Central Bank.
  • Audrius Jukonis & Elisa Letizia & Linda Rousova, 2024. "The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector," IMF Working Papers 2024/026, International Monetary Fund.
• Sai Ma & Shaojun Zhang, 2024. "Housing Cycles and Exchange Rates," Management Science, INFORMS, vol. 70(9), pages 5646-5666, September.
  • Ma, Sai & Zhang, Shaojun, 2019. "Housing Cycle and Exchange Rates," Working Paper Series 2019-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Zongwu Cai & Pixiong Chen, 2024. "Online Investor Sentiment via Machine Learning," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202411, University of Kansas, Department of Economics, revised Sep 2024.
• Klaus Grobys, 2024. "Science or scientism? On the momentum illusion," Annals of Finance, Springer, vol. 20(4), pages 479-519, December.
• Yi-Hao Lai & Yi-Chiuan Wang & Yu-Ching Chang, 2024. "Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 285-305, June.
• Subhash Karmakar & Gautam Bandyopadhyay & Jayanta Nath Mukhopadhyay, 2024. "Systemic Risk in Indian Financial Institutions: A Probabilistic Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 579-656, September.
• Rama K. Malladi, 2024. "Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1021-1045, March.
• Xiaolong Tang & Yuping Song & Xingrui Jiao & Yankun Sun, 2024. "On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 2011-2033, May.
• Mehmet Sahiner, 2024. "Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2435-2499, June.
• Efstathios Polyzos & Costas Siriopoulos, 2024. "Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 225-262, July.
• Rebecca Westphal & Didier Sornette, 2024. "How Market Intervention can Prevent Bubbles and Crashes: An Agent Based Modelling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1315-1356, September.
• Shun Chen & Lingling Guo & Lei Ge, 2024. "Increasing the Hong Kong Stock Market Predictability: A Temporal Convolutional Network Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2853-2878, November.
• Aykut Ekinci & Safa Sen, 2024. "Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3161-3179, December.
• Jie Cheng, 2024. "Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3617-3643, December.
• Hayden Brown, 2024. "Long-term returns estimation of leveraged indexes and ETFs," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(2), pages 165-190, June.
• Andrea Rigamonti, 2024. "Can machine learning make technical analysis work?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(3), pages 399-412, September.
• Joon Chul James Ahn & Dragos Gorduza & Seonho Park, 2024. "Hidden neighbours: extracting industry momentum from stock networks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(4), pages 415-441, December.
• Julia Braun & Hans-Peter Burghof & Julius Langer & Dag Einar Sommervoll, 2024. "The Volatility of Housing Prices: Do Different Types of Financial Intermediaries Affect Housing Market Cycles Differently?," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 377-408, October.
• Rilwan Sakariyahu & Audrey Paterson & Eleni Chatzivgeri & Rodiat Lawal, 2024. "Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 135-169, January.
• Cullen F. Goenner, 2024. "Robust lessons learned from bank failures during the Great Financial Crisis," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 449-498, February.
• Paul B. McGuinness, 2024. "Research note: An investigation of the relation between pre-IPO dividends and vendor sales," Review of Quantitative Finance and Accounting, Springer, vol. 62(3), pages 889-910, April.
• Weihao Han & David Newton & Emmanouil Platanakis & Haoran Wu & Libo Xiao, 2024. "The diversification benefits of cryptocurrency factor portfolios: Are they there?," Review of Quantitative Finance and Accounting, Springer, vol. 63(2), pages 469-518, August.
• Chuxuan Xiao & Winifred Huang & David P. Newton, 2024. "Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 979-1006, October.
• Nikunj Patel & Aakruti Patel & Bhavesh Patel, 2024. "The Role of Institutional Investors in The Indian Stock Markets During the Pandemic," Capital Markets Review, Malaysian Finance Association, vol. 32(1), pages 75-99.
• Attila Zoltan Nagy, 2024. "Market Timing Investment Methods on the Budapest Stock Exchange," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 23(2), pages 105-130.
• Jonathan Ross & David Ziebart, 2024. "The Accounting Rate of Return and Economic Growth," Journal of Economic Insight, Missouri Valley Economic Association, vol. 50(1), pages 87-111.
• Tomasz Piotr Kostyra, 2024. "Forecasting the yield curve for Poland with the PCA and machine learning," Bank i Kredyt, Narodowy Bank Polski, vol. 55(4), pages 459-478.
• Jules H. van Binsbergen & Svetlana Bryzgalova & Mayukh Mukhopadhyay & Varun Sharma, 2024. "(Almost) 200 Years of News-Based Economic Sentiment," NBER Working Papers 32026, National Bureau of Economic Research, Inc.
• William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2024. "Procyclical Stocks Earn Higher Returns," NBER Working Papers 32509, National Bureau of Economic Research, Inc.
• Antoine Didisheim & Shikun (Barry) Ke & Bryan T. Kelly & Semyon Malamud, 2024. "APT or “AIPT”? The Surprising Dominance of Large Factor Models," NBER Working Papers 33012, National Bureau of Economic Research, Inc.
• Ruslan Goyenko & Bryan T. Kelly & Tobias J. Moskowitz & Yinan Su & Chao Zhang, 2024. "Trading Volume Alpha," NBER Working Papers 33037, National Bureau of Economic Research, Inc.
• Teterin, M. & Peresetsky, A., 2024. "Google Trends and Bitcoin volatility forecast," Journal of the New Economic Association, New Economic Association, vol. 65(4), pages 118-135.
• New Zealand Treasury, 2025. "Fiscal Strategy Model (FSM)," Treasury Modelling and Data Tools FSM, New Zealand Treasury.
• Ștefan RUSU & Marcel BOLOȘ, 2024. "Machine Learning Clustering In Financial Markets: A Literature Review," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 33(1), pages 330-336, July.
• Ștefan RUSU & Marcel BOLOȘ, 2024. "Bridging Tradition And Innovation: A Literature Review On Portfolio Optimization," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 33(1), pages 337-344, July.
• Ke-Li Xu & Junjie Guo, 2024. "A New Test for Multiple Predictive Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 119-156.
• Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2024. "Volatility Forecasting with Machine Learning and Intraday Commonality," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 492-530.
• Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024. "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 636-669.
  • Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023. "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers 34837, University of Essex, Essex Business School.
• Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
  • Tae-Hwy Lee & Ekaterina Seregina, 2023. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202302, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
• Jian Chen, 2024. "Jump Clustering, Information Flows, and Stock Price Efficiency†," Journal of Financial Econometrics, Oxford University Press, vol. 22(5), pages 1588-1615.
• Sebastian Denk & Gunter Löffler, 2024. "Predicting the Equity Premium with Combination Forecasts: A Reappraisal," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(4), pages 545-577.
• Yufeng Han & Ai He & David E Rapach & Guofu Zhou, 2024. "Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning," Review of Finance, European Finance Association, vol. 28(6), pages 1807-1831.
• Amit Goyal & Ivo Welch & Athanasse Zafirov, 2024. "A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, vol. 37(11), pages 3490-3557.
• Tim de Silva & David Thesmar, 2024. "Noise in Expectations: Evidence from Analyst Forecasts," The Review of Financial Studies, Society for Financial Studies, vol. 37(5), pages 1494-1537.
• Daniela Iulia Maria Carbune, 2024. "Considerations Related To The Application Of Deep Learning And Neural Networks In Finance And Banking. A Bibliometric Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 480-488, December.
• Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
• Vipul Kumar Singh & Pawan Kumar, 2024. "Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 172-189, March.
• Mikhail Samonov & Nonna Sorokina, 2024. "A century of asset allocation crash risk," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 383-406, July.
• Valeriy Zakamulin & Javier Giner, 2024. "Optimal trend-following rules in two-state regime-switching models," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 327-348, July.
• Desislava Vladimirova, 2024. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 479-492, September.
• Ka Kei Chan & E. Philip Davis & Dilruba Karim, 2024. "Macroprudential policy, bank competition and bank risk in East Asia," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(3), pages 326-358, September.
• Gianluca P. M. Virgilio & Manuel Ernesto Paz López, 2024. "Revisiting noise—Fischer Black’s noise at the time of high-frequency trading," Risk Management, Palgrave Macmillan, vol. 26(4), pages 1-22, December.
• Till Barz & Andreas Nastansky, 2024. "Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen," Statistische Diskussionsbeiträge 57, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Beckmann, Joscha & Czudaj, Robert L., 2025. "Fundamental determinants of exchange rate expectations," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1003-1021.
  • Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
  • Beckmann, Joscha & Czudaj, Robert L., 2024. "Fundamental determinants of exchange rate expectations," MPRA Paper 120648, University Library of Munich, Germany.
  • Joscha Beckmann & Robert L. Czudaj, 2022. "Fundamental determinants of exchange rate expectations," Chemnitz Economic Papers 056, Department of Economics, Chemnitz University of Technology, revised Mar 2022.
• Dean Fantazzini, 2024. "Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets," JRFM, MDPI, vol. 17(6), pages 1-44, June.
  • Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
• Khanam, Rifat Binte & Rabeya, Jannatul Ferdous & Hasan, Amena, 2024. "Building Trust, Fueling Growth: The Cornerstone Role of Capital Market Governance in Bangladesh," MPRA Paper 121449, University Library of Munich, Germany, revised 08 May 2024.
• Katsafados, Apostolos G. & Leledakis, George N. & Panagiotou, Nikolaos P. & Pyrgiotakis, Emmanouil G., 2024. "Can central bankers’ talk predict bank stock returns? A machine learning approach," MPRA Paper 122899, University Library of Munich, Germany.
• Fantazzini, Dean & Korobova, Elena, 2025. "Stablecoins and credit risk: when do they stop being stable?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 46-73.
  • Korobova, Elena & Fantazzini, Dean, 2024. "Stablecoins and credit risk: when do they stop being stable?," MPRA Paper 122951, University Library of Munich, Germany.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?," Working Papers 202408, University of Pretoria, Department of Economics.
• Yuvana Jaichand & Renee van Eyden & Rangan Gupta, 2024. "Presidential Approval Ratings and Stock Market Performance in Latin America," Working Papers 202411, University of Pretoria, Department of Economics.
• Elie Bouri & Rangan Gupta & Asingamaanda Liphadzi & Christian Pierdzioch, 2024. "Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks," Working Papers 202424, University of Pretoria, Department of Economics.
• Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024. "Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments," Finance Research Letters, Elsevier, vol. 69(PB).
  • Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat, 2024. "Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments," Working Papers 202435, University of Pretoria, Department of Economics.
• V. Candila & O. Cepni & G. M. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  • Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis," Working Papers 202437, University of Pretoria, Department of Economics.
• Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2024. "Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data," Working Papers 202450, University of Pretoria, Department of Economics.
• Qi Shi, 2024. "The Second RP-PCA Factor and Crude Oil Price Predictability," Prague Economic Papers, Prague University of Economics and Business, vol. 2024(6), pages 662-690.
• Jáchym Novotný, 2024. "Evaluation of Accuracy of Exchange Rate Expectation Models for Understanding Observed Expectations," Politická ekonomie, Prague University of Economics and Business, vol. 2024(5), pages 752-779.
• Paulo M.M. Rodrigues & Nicolau João, 2024. "A simple but powerful tail index regression," Working Papers w202412, Banco de Portugal, Economics and Research Department.
• Savvakis C. Savvides, 2024. "Wealth Concentration Leads To Wealth Extraction," Development Discussion Papers 2024-05, JDI Executive Programs.
• Savvakis C. Savvides, 2024. "The Evolution Of A Rentier Economy And The Suppression Of Economic Welfare," Development Discussion Papers 2024-06, JDI Executive Programs.
• Andres Olmos & Nelson Muriel, 2024. "Accurate delta hedging of european options using conformable calculus," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 21(1), pages 59-69, January-J.
• Xiaomin Guo & Huijian Dong & Gary A. Patterson, 2024. "Equity Returns Around Extreme Loss: A Stochastic Event Approach," American Business Review, Pompea College of Business, University of New Haven, vol. 27(1), pages 207-220.
• Saswat Patra & Malay Bhattacharyya, 2024. "Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management," American Business Review, Pompea College of Business, University of New Haven, vol. 27(2), pages 623-639.
• Polina Pogorelova, 2024. "Investigation of the impact of uncertainty indices on Bitcoin volatility using the ARDL model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 74, pages 35-50.
• Dmitry Patlasov, 2024. "Assessment of the Russian stock market volatility impact on credit spreads of Russian corporate bonds," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 76, pages 29-50.
• Luis Fernando Escobar Caba & Roger Alejandro Banegas Rivero, 2024. "Volatilidad en los depósitos bancarios en Bolivia: GARCH simétrico y asimétrico," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 41, pages 69-102.
• Daeyun KANG & Doojin RYU & Alexander WEBB, 2024. "Term Spread Prediction using Lasso in Machine Learning Frameworks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 31-45, December.
• Pablo PINCHEIRA-BROWN & Nicolás HARDY, 2024. "More predictable than ever, with the worst MSPE ever," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-30, December.
• Robert-?tefan CONSTANTIN & Marina-Diana AGAFI?EI & Adriana AnaMaria DAVIDESCU, 2024. "Enhancing Portfolio Structure with Evolutionary Multi-Objective Optimisation," PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON ECONOMICS AND SOCIAL SCIENCES, Bucharest University of Economic Studies, Romania, vol. 6(1), pages 682-691, August.
• Krzysztof DRACHAL, 2024. "Bayesian Symbolic Regression and Other Similar Methods as a Tool for Forecasting Commodities Prices," PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON ECONOMICS AND SOCIAL SCIENCES, Bucharest University of Economic Studies, Romania, vol. 6(1), pages 703-713, August.
• Taiwo BOLARINWA, 2024. "Computable General Equilibrium (CGE) Models: A Comprehensive Review and Future Directions," Management and Economics Review, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 9(1), pages 158-167, February.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
  • Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," CEIS Research Paper 589, Tor Vergata University, CEIS, revised 20 Dec 2024.
• Nupur Moni Das & Bhabani Sankar Rout, 2024. "Equity Price Risk of Commercial Banks in India," Arthaniti: Journal of Economic Theory and Practice, , vol. 23(2), pages 179-201, December.
• Mark P. Doblas & Jishanis Mae G. Becaro & Jayendira P. Sankar & Vinodh K. Natarajan & Yoganandham G. & Arumugasamy G., 2024. "Testing Integrative Models of the Change Behavior in the Intention to Adopt Cryptocurrency," SAGE Open, , vol. 14(2), pages 21582440241, May.
• Tomasz Korol, 2024. "Multi-factor fuzzy sets decision system forecasting consumer insolvency risk," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 51(3), pages 279-302, September.
• Ewelina Osowska & Piotr Wójcik, 2024. "Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 177-177, March.
  • Ewelina Osowska & Piotr Wójcik, 2024. "Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 145-175, March.
• Ewelina Osowska & Piotr Wójcik, 2024. "Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 145-175, March.
  • Ewelina Osowska & Piotr Wójcik, 2024. "Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 177-177, March.
• Marc-Aurèle Divernois & Damir Filipović, 2024. "StockTwits classified sentiment and stock returns," Digital Finance, Springer, vol. 6(2), pages 249-281, June.
• Parthajit Kayal & Sumanjay Dutta, 2024. "Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis," Digital Finance, Springer, vol. 6(2), pages 319-340, June.
• Zirui Guo & Yihan Li & Guangyan Jia, 2024. "Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market," Empirical Economics, Springer, vol. 66(3), pages 1191-1222, March.
• Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024. "Forecasting the equity premium using weighted regressions: Does the jump variation help?," Empirical Economics, Springer, vol. 66(5), pages 2049-2082, May.
• Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
• Huawei Niu & Tianyu Liu, 2024. "Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-MIDAS model," Empirical Economics, Springer, vol. 67(1), pages 75-96, July.
• Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
• Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
• Mahdi Ghaemi Asl & David Roubaud, 2024. "Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-49, December.
• Blanco-Oliver Antonio & Lara-Rubio Juan & Irimia-Diéguez Ana & Liébana-Cabanillas Francisco, 2024. "Examining user behavior with machine learning for effective mobile peer-to-peer payment adoption," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
• Malvina Marchese & María Dolores Martínez-Miranda & Jens Perch Nielsen & Michael Scholz, 2024. "Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-16, December.
• Christian Bayer & Denis Belomestny & Oleg Butkovsky & John Schoenmakers, 2024. "A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models," Finance and Stochastics, Springer, vol. 28(4), pages 1147-1178, October.
• Leila Hedhili Zaier & Khaled Mokni & Ahdi Noomen Ajmi, 2024. "Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis," Future Business Journal, Springer, vol. 10(1), pages 1-11, December.
• Kamil Kladívko & Pär Österholm, 2024. "An Analysis of UK Households’ Directional Forecasts of Interest Rates," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(3), pages 423-442, November.
• Noura Metawa & Hussein Tamimi & Rania Itani, 2024. "Synergizing Deep Belief Networks and Arithmetic Optimization for Stock Market Price Prediction: A Hybrid Approach," Lecture Notes in Operations Research, in: Ali Emrouznejad & Panagiotis D. Zervopoulos & Ilhan Ozturk & Dima Jamali & John Rice (ed.), Business Analytics and Decision Making in Practice, chapter 0, pages 155-173, Springer.
• Jeremiah Green & John R. M. Hand & Anywhere Sikochi, 2024. "The asymmetric mispricing information in analysts’ target prices," Review of Accounting Studies, Springer, vol. 29(1), pages 889-915, March.
• Somnath Das & Philipp D. Schaberl & Pradyot K. Sen, 2024. "Analysts’ use of dividends in earnings forecasts," Review of Accounting Studies, Springer, vol. 29(2), pages 1192-1234, June.
• Ryan J. Casey & George W. Ruch, 2024. "Are earnings better than cash flows at predicting future cash flows? Evidence from apples-to-apples comparisons," Review of Accounting Studies, Springer, vol. 29(4), pages 3218-3257, December.
• Chris Reimann, 2024. "Predicting financial crises: an evaluation of machine learning algorithms and model explainability for early warning systems," Review of Evolutionary Political Economy, Springer, vol. 5(1), pages 51-83, June.
• Hengzhen Lu & Qiujin Gao & Ling Xiao & Gurjeet Dhesi, 2024. "Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models," Review of Managerial Science, Springer, vol. 18(7), pages 1917-1943, July.
• Tri Minh Phan, 2024. "Sentiment-semantic word vectors: A new method to estimate management sentiment," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-22, December.
• Joana Katina & Joana Katina & Igor Katin & Igor Katin & Vera Komarova, 2024. "Cryptocurrency price forecasting: a comparative analysis of autoregressive and recurrent neural network models," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 11(4), pages 425-436, June.
• Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024. "Option-implied bond spread risk," Working Papers 66, European Stability Mechanism, revised 25 Nov 2024.
• Kamil Kladívko & Pär Österholm, 2024. "Analysts versus the random walk in financial forecasting: evidence from the Czech National Bank’s Financial Market Inflation Expectations survey," Applied Economics, Taylor & Francis Journals, vol. 56(17), pages 2077-2088, April.
  • Kladívko, Kamil & Österholm, Pär, 2022. "Analysts versus the Random Walk in Financial Forecasting: Evidence from the Czech National Bank’s Financial Market Inflation Expectations Survey," Working Papers 2022:14, Örebro University, School of Business.
• Laura Capera Romero & Anne Opschoor, 2024. "Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting," Tinbergen Institute Discussion Papers 24-059/III, Tinbergen Institute.
• Felix Haase, 2024. "Sum-of-the-Parts Revised: Economic Regimes and Flexible Probabilities," Research Papers in Economics 2024-10, University of Trier, Department of Economics.
• Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024. "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-13, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Raffaele Santioni & Javier Gil-Bazo, 2024. "Geographic Shareholder Dispersion and Mutual Fund Flow Risk," Working Papers 1440, Barcelona School of Economics.
  • Javier Gil-Bazo & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Economics Working Papers 1886, Department of Economics and Business, Universitat Pompeu Fabra.
  • Javier Gil-Bazo & Alexander Kempf & Raffaele Santioni, 2024. "Geographic shareholder dispersion and mutual fund flow risk," Temi di discussione (Economic working papers) 1461, Bank of Italy, Economic Research and International Relations Area.
• Lyudmila I. Tenkovskaya, 2024. "Modelling company’s stock quotes under the economy’s cyclicity," Journal of New Economy, Ural State University of Economics, vol. 25(3), pages 138-154, December.
• Marina Yu. Malkina, 2024. "Financial contagion in the US, European and Chinese stock markets during global shocks," Journal of New Economy, Ural State University of Economics, vol. 25(4), pages 47-67, December.
• Paolo Pellizzari, 2024. "Learning Whether to Be Informed in an Agent-Based Evolutionary Market Model," Working Papers 2024: 03, Department of Economics, University of Venice "Ca' Foscari".
• HABIBI, Reza, 2024. "A Note On The Early Warning System Of Change Points: Combination Of Regime Switching And Threshold Models," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 28(2), pages 6-18, June.
• BERISHVILI, Vakhtang & DIDMANIDZE, Monika, 2024. "The Impact Of The Georgian Real Estate Investment Trust On The Performance Of Various Portfolios," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 28(3), pages 6-25, September.
• ANGHEL, Bogdan Ionuț, 2024. "Predicting Stock Price Direction Of Eurozone Banks: Can Deep Learning Techniques Outperform Traditional Models?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 28(4), pages 29-42, December.
• Brygała Magdalena & Korol Tomasz, 2024. "Personal bankruptcy prediction using machine learning techniques," Economics and Business Review, Sciendo, vol. 10(2), pages 118-142.
• Abu-Alkhei Ahmad M. & Alsharari Nizar M. & Khan Walayet A. & Ramzani Sara R. & Horam Phungmayo, 2024. "Examining the performance of Shari’ah-compliant versus conventional stock indexes: A comparative analysis pre‑, during, and post-COVID-19," Economics and Business Review, Sciendo, vol. 10(2), pages 31-59.
• Jana Subrata & Giri Bibhas Chandra & Sarkar Anirban & Jana Chiranjibe & Stević Željko & Radovanović Marko, 2024. "Application of Fuzzy AHP in Priority Based Selection of Financial Indices: A Perspective for Investors," Economics, Sciendo, vol. 12(1), pages 1-7, April.
• Trung Do Duc & Dudić Branislav & Dung Hoang Tien & Truong Nguyen Xuan, 2024. "Innovation in Financial Health Assessment: Applying MCDM Techniques to Banks in Vietnam," Economics, Sciendo, vol. 12(2), pages 21-33.
• Radojković Ivan D. & Radović Ognjen V. & Stevanović Kristina R., 2024. "Modeling the Volatility of Returns on Investment Units of Voluntary Pension Funds in Serbia," Economic Themes, Sciendo, vol. 62(4), pages 541-560.
• Marciniuk Agnieszka & Zmyślona Beata, 2024. "The Influence of Demographic and Economic Factors on the Widow’s Reverse Annuity Benefits in Coronavirus Pandemic," Wroclaw Review of Law, Administration & Economics, Sciendo, vol. 14(2), pages 17-36.
• Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024. "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 201-230.
• Stanisław Łaniewski & Robert Ślepaczuk, 2024. "Enhancing literature review with NLP methods Algorithmic investment strategies case," Working Papers 2024-16, Faculty of Economic Sciences, University of Warsaw.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Business applications and state‐level stock market realized volatility: A forecasting experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 456-472, March.
  • Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers 202247, University of Pretoria, Department of Economics.
• Pablo Pincheira Brown & Nicolás Hardy, 2024. "Correlation‐based tests of predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1835-1858, September.
  • Pincheira, Pablo & Hardy, Nicolas, 2022. "Correlation Based Tests of Predictability," MPRA Paper 112014, University Library of Munich, Germany.
• Alia Ajmal & Chaudhry Abdullah Imran Sahi & Wing-Keung -Wong & Ramzan Ali & Abid Rasheed, 2024. "Factors Affecting the Crude Oil Prices Volatility: A Case Study of the USA, China, Japan, Germany and India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, March.
• Hardy Hulley & Leo Liu & Kenny Phua, 2024. "Investor Search and Asset Prices," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 1-33, December.
• Imen Omri & Oguzhan Ozcelebi, 2024. "Examination Of The Impacts Of Cryptocurrency Uncertainty On Exchange-Traded Funds," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2687-2712, December.
• Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), 2024. "Artificial Intelligence and Beyond for Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number q0449.
• Massimo Guidolin, 2024. "Machine Learning in Portfolio Decisions," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 1, pages 1-72, World Scientific Publishing Co. Pte. Ltd..
  • Manuela Pedio & Massimo Guidolin & Giulia Panzeri, 2024. "Machine Learning in Portfolio Decisions," BAFFI CAREFIN Working Papers 24233, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Manuela Pedio, 2024. "Natural Language Processing and Stock Returns," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 2, pages 73-102, World Scientific Publishing Co. Pte. Ltd..
• René Garcia & Alissa Marinenko, 2024. "Portfolio Allocation and Reinforcement Learning," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 3, pages 103-148, World Scientific Publishing Co. Pte. Ltd..
• Silvio Andrae, 2024. "Explainable Artificial Intelligence in Risk Management: A Framework," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 4, pages 149-206, World Scientific Publishing Co. Pte. Ltd..
• Abraham Itzhak Weinberg, 2024. "How Can Sentiment Analysis Contribute to Financial Markets and Services?," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 5, pages 207-234, World Scientific Publishing Co. Pte. Ltd..
• Alessio Faccia, 2024. "Quantum Fintech," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 6, pages 235-263, World Scientific Publishing Co. Pte. Ltd..
• Veni Arakelian & Roberto Savona & Marika Vezzoli, 2024. "Tail Dependence of Eurozone Bond Yields and Sovereign CDS Spreads," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 7, pages 265-287, World Scientific Publishing Co. Pte. Ltd..
• Yuanyuan Zhang & Stephen Chan & Jeffrey Chu & Xin Liao & Min Helu, 2024. "Stylized Facts of Decentralized Finance (DeFi)," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 8, pages 289-314, World Scientific Publishing Co. Pte. Ltd..
• Reem Abdulla Alkhalifa & Riadh Ksantini & Khaoula Tbarki, 2024. "Effective Systems for Bot Detection and Real-Time Stock Market Predictions," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 9, pages 315-336, World Scientific Publishing Co. Pte. Ltd..
• Mazin A.M. Al Janabi, 2024. "Reinforcement Machine Learning Optimization Algorithms for the Computation of Downside Risk and Investable Portfolios in Post 2007–2009 Financial Meltdown," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 10, pages 337-357, World Scientific Publishing Co. Pte. Ltd..
• Alaa Tareq Mohamed & Riadh Ksantini & Jihene Kaabi, 2024. "Deep Learning in Insurance: An Incremental Deep Learning Approach for Pricing Prediction Strategy in the Insurance Industry," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 11, pages 359-391, World Scientific Publishing Co. Pte. Ltd..
• Koponen, Heidi, 2024. "Constructing a composite indicator to assess cyclical systemic risks: An early warning approach," BoF Economics Review 3/2024, Bank of Finland.
• Anttonen, Jetro & Laine, Olli-Matti, 2024. "Forecasting inflation: A comparison of the ECB's short-term inflation projections and inflation-linked swaps," BoF Economics Review 8/2024, Bank of Finland.
• Faria, Gonçalo & Verona, Fabio, 2024. "Unlocking predictive potential: the frequency-domain approach to equity premium forecasting," Bank of Finland Research Discussion Papers 10/2024, Bank of Finland.
• Faria, Gonçalo & Verona, Fabio, 2024. "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers 14/2024, Bank of Finland.
• Kieren, Pascal & König-Kersting, Christian & Schmidt, Robert J. & Trautmann, Stefan T. & Theurich, Franziska, 2024. "First-order and higher-order inflation expectations: Evidence about households and firms," Discussion Papers 18/2024, Deutsche Bundesbank.
• Bednarek, Peter & Franke, Günter, 2024. "Dynamics of probabilities of default," Discussion Papers 32/2024, Deutsche Bundesbank.
• Herbst, Tobias & Roling, Christoph, 2024. "A top-down loan-level stress test for banks' corporate credit risk: Application to risks from commercial real estate markets," Technical Papers 09/2024, Deutsche Bundesbank.
• Metiu, Norbert, 2024. "A financial stress indicator for Germany," Technical Papers 10/2024, Deutsche Bundesbank.
• Ohlrogge, Hans Christian & Isselstein, Franz Caspar, 2024. ""Towards an index for investable security tokens": A feasibility study," IU Discussion Papers - Business & Management 9 (JUL 2024), IU International University of Applied Sciences.

2023

• Marcell Peter Granat & Gabor Neszveda & Dorottya Szabo, 2023. "An Empirical Analysis of the Predictive Power of European Yield Curves," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 22(3), pages 48-66.
• Csaba Burger & Dariusz Wojcik, 2023. "The Geography of Climate Change Risk Analysis at Central Banks in Europe," MNB Occasional Papers 2023/150, Magyar Nemzeti Bank (Central Bank of Hungary).
• Viola Monostoriné Grolmusz, 2023. "Recovering Stock Analysts’ Loss Functions from Buy/Sell Recommendations," MNB Working Papers 2023/4, Magyar Nemzeti Bank (Central Bank of Hungary).
• Lina Song & Amirul Shah Md Shahbudin, 2023. "To anticipate the bankruptcy of Baoshang Bank based on CAMELS rating system," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 65-88.
• Magdalena Kozińska, 2023. "Zarządzanie kryzysowe w sektorze ubezpieczeniowym – o upadłości i resolution ubezpieczycieli w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 54(6), pages 673-696.
• Bryan T. Kelly & Dacheng Xiu, 2023. "Financial Machine Learning," NBER Working Papers 31502, National Bureau of Economic Research, Inc.
• Turan G. Bali & Bryan T. Kelly & Mathis Mörke & Jamil Rahman, 2023. "Machine Forecast Disagreement," NBER Working Papers 31583, National Bureau of Economic Research, Inc.
• Mihir Gandhi & Niels Joachim Gormsen & Eben Lazarus, 2023. "Forward Return Expectations," NBER Working Papers 31687, National Bureau of Economic Research, Inc.
• Antoine Didisheim & Shikun (Barry) Ke & Bryan T. Kelly & Semyon Malamud, 2023. "Complexity in Factor Pricing Models," NBER Working Papers 31689, National Bureau of Economic Research, Inc.
• Qihui Chen & Nikolai Roussanov & Xiaoliang Wang, 2023. "Semiparametric Conditional Factor Models: Estimation and Inference," NBER Working Papers 31817, National Bureau of Economic Research, Inc.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2023. "Risk-On Risk-Off: A Multifaceted Approach to Measuring Global Investor Risk Aversion," NBER Working Papers 31907, National Bureau of Economic Research, Inc.
• Bryan Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023. "Universal Portfolio Shrinkage," Swiss Finance Institute Research Paper Series 23-119, Swiss Finance Institute.
  • Bryan T. Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023. "Universal Portfolio Shrinkage," NBER Working Papers 32004, National Bureau of Economic Research, Inc.
• Russell P. Robins & Geoffrey Peter Smith, 2023. "A New Look at Expected Stock Returns and Volatility," Critical Finance Review, now publishers, vol. 12(1-4), pages 225-270, August.
• Hans Lööf & Maziar Sahamkhadam & Andreas Stephan, 2023. "Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry," Journal of Forest Economics, now publishers, vol. 38(2), pages 133-157, June.
  • Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Incorporating ESG into optimal stock portfolios for the global timber & forestry industry," Working Paper Series in Economics and Institutions of Innovation 490, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
• Andrew Urquhart & Pengfei Wang, 2023. "No Cryptocurrency Experience Required: Managerial Characteristics in Cryptocurrency Fund Performance," Review of Corporate Finance, now publishers, vol. 3(4), pages 529-569, September.
• Jelena Galijaš, 2023. "Financial and regulatory reports as an informational basis for assessing bank solvency," Working Papers Bulletin 14, National Bank of Serbia.
• Cristian DOGAR, 2023. "Financial Forecasts For Works Contracts. A Content Analysis Of Romanian Rules On Value Adjustments," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 32(1), pages 338-350, July.
• Huixing Jin, 2023. "Analysis of the Time Series Characteristics of Intraday Momentum on the Tokyo Stock Exchange," Discussion Papers in Economics and Business 23-11, Osaka University, Graduate School of Economics.
• Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
• Dillon Huddleston & Fred Liu & Lars Stentoft, 2023. "Intraday Market Predictability: A Machine Learning Approach," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 485-527.
• Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
  • Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
• Razvan Pascalau & Ryan Poirier, 2023. "Increasing the information content of realized volatility forecasts," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1064-1098.
• Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
• Tolga Cenesizoglu & Denada Ibrushi, 2023. "Time Variation in Cash Flows and Discount Rates," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1557-1589.
• Arseny Gorbenko & Marcin Kacperczyk, 2023. "Short Interest and Aggregate Stock Returns: International Evidence," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 691-733.
• Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
• Adam Farago & Erik Hjalmarsson, 2023. "Long-Horizon Stock Returns Are Positively Skewed," Review of Finance, European Finance Association, vol. 27(2), pages 495-538.
• Bernard Dumas & Marcel Savioz, 2023. "A Theory of the Nominal Character of Stock Securities," Review of Finance, European Finance Association, vol. 27(5), pages 1615-1657.
• Gregory W & Eric Ghysels & Oleg R Gredil & Stijn Van, 2023. "Nowcasting Net Asset Values: The Case of Private Equity," The Review of Financial Studies, Society for Financial Studies, vol. 36(3), pages 945-986.
• Sinan Gokkaya & Xi Liu & Veronika Krepely & Fei Xie & Jinfan Zhang & Lauren Cohen, 2023. "Is There Investment Value in the Soft-Dollar Arrangement? Evidence from Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 36(8), pages 3122-3162.
• Pelin Bengitöz & Mehmet Umutlu, 2023. "Are return predictors of industrial equity indexes common across regions?," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 396-418, September.
• Damilola Oyetade & Adefemi A. Obalade & Paul-Francois Muzindutsi, 2023. "Basel IV capital requirements and the performance of commercial banks in Africa," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(1), pages 1-14, March.
• Katarina Valaskova & Dominika Gajdosikova & Jaroslav Belas, 2023. "Bankruptcy prediction in the post-pandemic period: A case study of Visegrad Group countries," Oeconomia Copernicana, Institute of Economic Research, vol. 14(1), pages 253-293, March.
• Vancsura, László & Bareith, Tibor, 2023. "Analysis of the performance of predictive models during Covid-19 and the Russian-Ukrainian war," Public Finance Quarterly, Corvinus University of Budapest, vol. 69(2), pages 118-132.
• Szántó, Tünde Katalin, 2023. "Handling outliers in bankruptcy prediction models based on logistic regression," Public Finance Quarterly, Corvinus University of Budapest, vol. 69(3), pages 89-103.
• Bukvić, Rajko & Pavlović, Radica, 2023. "The Cash Flow Concept in Modern Financial Analysis of Internal Sources of Companies’ Investment Financing," MPRA Paper 116053, University Library of Munich, Germany.
• Fang, Yi & Niu, Hui & Lin, Yuen, 2023. "Ex-ante Valuation based on Prospect Theory," MPRA Paper 116386, University Library of Munich, Germany.
• N. Kundan Kishor, 2025. "Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators," The Journal of Real Estate Finance and Economics, Springer, vol. 70(1), pages 121-143, January.
  • Kishor, N. Kundan, 2023. "Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators," MPRA Paper 116819, University Library of Munich, Germany.
• Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
• Victor Olkhov, 2023. "Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions," Papers 2309.02447, arXiv.org, revised Apr 2024.
  • Olkhov, Victor, 2023. "Economic complexity limits accuracy of price probability predictions by gaussian distributions," MPRA Paper 118373, University Library of Munich, Germany.
• Dean Fantazzini & Yufeng Xiao, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," Econometrics, MDPI, vol. 11(3), pages 1-73, August.
  • Fantazzini, Dean & Xiao, Yufeng, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," MPRA Paper 118435, University Library of Munich, Germany.
• Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2024. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," Finance Research Letters, Elsevier, vol. 67(PB).
  • Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
• Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
• Lee, David, 2023. "Modeling Collateralization and Its Economic Significance," MPRA Paper 118678, University Library of Munich, Germany.
• Olkhov, Victor, 2023. "Economic Theory as Successive Approximations of Statistical Moments," MPRA Paper 118722, University Library of Munich, Germany.
• Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.
• Kausik, B.N., 2023. "Equity Premium in Efficient Markets," MPRA Paper 119278, University Library of Munich, Germany.
  • B. N. Kausik, 2024. "Equity Premium in Efficient Markets," Papers 2401.09265, arXiv.org.
• Basharina, Olga & Baranova, Nina & Larin, Sergey, 2023. "Разработка И Апробация Цифровой Модели Принятия Эффективных Инвестиционных Решений Для Формирования Стратегий Развития Экономических Субъектов [Building and testing a digital model for effective in," MPRA Paper 119334, University Library of Munich, Germany, revised 28 Sep 2023.
• Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Mathematics, MDPI, vol. 11(13), pages 1-27, July.
  • Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Renee van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Working Papers 202311, University of Pretoria, Department of Economics.
• Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024. "Energy-related uncertainty and international stock market volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
  • Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2023. "Energy-Related Uncertainty and International Stock Market Volatility," Working Papers 202336, University of Pretoria, Department of Economics.
• Afees A. Salisu & Rangan Gupta, 2023. "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers 202339, University of Pretoria, Department of Economics.
• Milan Fičura, 2023. "Impact of size and volume on cryptocurrency momentum and reversal," FFA Working Papers 5.003, Prague University of Economics and Business, revised 05 Apr 2023.
• Caio Almeida & Gustavo Freire & René Garcia & Rodrigo Hizmeri, 2023. "Tail Risk and Asset Prices in the Short-term," Working Papers 2023-06, Princeton University. Economics Department..
• Joana Passinhas, 2023. "A macroprudential look into the risk-return framework of banks’ profitability," Working Papers w202303, Banco de Portugal, Economics and Research Department.
• Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
  • Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023. "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers w202309, Banco de Portugal, Economics and Research Department.
• Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
  • Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers 105, Red Investigadores de Economía.
• Mikhail Makushkin & Victor Lapshin, 2023. "Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 69, pages 5-27.
• W. Paul Chiou & Yuchen Dong & Sofia Ma, 2023. "Performance Of Using Machine Learning Approaches For Credit Rating Prediction: Random Forest And Boosting Algorithms," Journal of Financial Transformation, Capco Institute, vol. 58, pages 44-53.
• Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2023. "Relative Signed Jump and Future Stock Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 25-45, March.
• Abramov, Aleksandr (Абрамов, Александр) & Chernova, Mariya (Чернова, Мария), 2023. "Investing Pension Savings in Russia: Results and Lessons for the Future [Инвестирование Пенсионных Накоплений В России: Результаты И Уроки]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 3, pages 8-45, June.
• Vedev, Aleksei (Ведев, Алексей) & Silchuk, Aleksandra (Сильчук, Александра) & Eremkin, Vladimir (Еремкин, Владимир) & Tuzov, Konstantin (Тузов, Константин) & Kovaleva, Maria (Ковалева, Мария), 2023. "Forecast of medium-term dynamics of socio-economic development of the Russian Federation under sanctions pressure, assessment of the effectiveness of implemented economic support measures and risk man," Working Papers w202374, Russian Presidential Academy of National Economy and Public Administration.
• Chinwe Okoyeuzu & Imaobong Judith Nnam & Wilfred Ukpere, 2023. "The Nexus between Oil Price and Stock Returns from a Global Economic Perspective," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 26(1), pages 109-119, December.
• Sumanjay Dutta & Parthajit Kayal & G. Balasubramnaian, 2023. "Volatility Spillover and Directionality in Cryptocurrency and Metal Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(4), pages 464-485, December.
• Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023. "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , vol. 44(5), pages 231-250, September.
  • Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
• Oguzhan Cepni & Tarik Dogru & Ozgur Ozdemir, 2023. "The contagion effect of COVID-19-induced uncertainty on US tourism sector: Evidence from time-varying granger causality test," Tourism Economics, , vol. 29(4), pages 906-928, June.
• Joao Vitor Matos Goncalves & Michel Alexandre & Gilberto Tadeu Lima, 2023. "ARIMA and LSTM: A Comparative Analysis of Financial Time Series Forecasting," Working Papers, Department of Economics 2023_13, University of São Paulo (FEA-USP).
• Gianluca Anese & Marco Corazza & Michele Costola & Loriana Pelizzon, 2023. "Impact of public news sentiment on stock market index return and volatility," Computational Management Science, Springer, vol. 20(1), pages 1-36, December.
  • Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021. "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series 322, Leibniz Institute for Financial Research SAFE.
• Mario Figueiredo & Yuri F. Saporito, 2023. "Forecasting the term structure of commodities future prices using machine learning," Digital Finance, Springer, vol. 5(1), pages 57-90, March.
• J. Christopher Westland, 2023. "Determinants of liquidity in cryptocurrency markets," Digital Finance, Springer, vol. 5(2), pages 261-293, June.
• Jan Patrick Hartkopf, 2023. "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, vol. 64(1), pages 393-436, January.
• Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
• Tiago E. Pratas & Filipe R. Ramos & Lihki Rubio, 2023. "Forecasting bitcoin volatility: exploring the potential of deep learning," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 285-305, June.
• Riccardo De Blasis, 2023. "Weighted-indexed semi-Markov model: calibration and application to financial modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-16, December.
• Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
• James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
• Ahmet Faruk Aysan & Erhan Muğaloğlu & Ali Yavuz Polat & Hasan Tekin, 2023. "Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 2023. "Forecasting accuracy of machine learning and linear regression: evidence from the secondary CAT bond market," Journal of Business Economics, Springer, vol. 93(9), pages 1629-1660, November.
• Lars Beckmann & Jörn Debener & Johannes Kriebel, 2023. "Understanding the determinants of bond excess returns using explainable AI," Journal of Business Economics, Springer, vol. 93(9), pages 1553-1590, November.
• Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
• Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
• Pawan Kumar & Vipul Kumar Singh, 2023. "Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 99-121, March.
• Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023. "Statistical arbitrage: factor investing approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
  • Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Statistical arbitrage: Factor investing approach," MPRA Paper 105766, University Library of Munich, Germany.
  • Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021. "Statistical Arbitrage: Factor Investing Approach," Working Papers 2021-003, Department of Research, Ipag Business School.
• Altina Kamberaj & Gjon Gjonlleshaj & Abdylmenaf Bexheti, 2023. "Fiscal Management of the Customs Administration in the Republic of Kosovo and Its Economic Recovery Contribution During the COVID-19 Pandemic Time," Springer Proceedings in Business and Economics, in: Abdylmenaf Bexheti & Hyrije Abazi-Alili & Léo-Paul Dana & Veland Ramadani & Andrea Caputo (ed.), Economic Recovery, Consolidation, and Sustainable Growth, pages 271-284, Springer.
• Ciao-Wei Chen & Laura Yue Li, 2023. "Is hiring fast a good sign? The informativeness of job vacancy duration for future firm profitability," Review of Accounting Studies, Springer, vol. 28(3), pages 1316-1353, September.
• Mia Hang Pham & Yulia Merkoulova & Chris Veld, 2023. "Credit risk assessment and executives’ legal expertise," Review of Accounting Studies, Springer, vol. 28(4), pages 2361-2400, December.
• Antonio Marsi, 2023. "Predicting European stock returns using machine learning," SN Business & Economics, Springer, vol. 3(7), pages 1-25, July.
• Jan Greunen & André Heymans, 2023. "Determining the Impact of Different Forms of Stationarity on Financial Time Series Analysis," Springer Books, in: Pieter W. Buys & Merwe Oberholzer (ed.), Business Research, chapter 0, pages 61-76, Springer.
• Chris Heerden & André Heymans & Paul Styger, 2023. "The Relationship Between the Forward and the Realized Spot Exchange Rate in South Africa," Springer Books, in: Pieter W. Buys & Merwe Oberholzer (ed.), Business Research, chapter 0, pages 99-115, Springer.
• Frans Dreyer & André Heymans & Chris Heerden, 2023. "Analyzing White Maize Hedging Strategies in South Africa," Springer Books, in: Pieter W. Buys & Merwe Oberholzer (ed.), Business Research, chapter 0, pages 137-155, Springer.
• Adler Haymans Manurung & Derwin Suhartono & Benny Hutahayan & Noptovius Halimawan, 2023. "Probability Bankruptcy Using Support Vector Regression Machines," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-3.
• Saeed Shaker-Akhtekhane & Solmaz Poorabbas, 2023. "Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-6.
• Kazım Berk Küçüklerli & Veysel Ulusoy, 2023. "The time-varying correlation between popular narratives and TRY/USD FX rate: Evidence from a DCC-GARCH model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-3.
• Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz & Giorgio Valentinuz, 2023. "Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-4.
• Agnieszka Lisowska & Tadeusz Waściński & Jevgenijs Kurovs & Marcin Szpernalowski & Malgorzata Koszewska, 2023. "The usefulness of financial instruments in assessing the bankruptcy risk of companies," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 11(1), pages 191-208, September.
• Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2023. "Tail risks and forecastability of stock returns of advanced economies: evidence from centuries of data," The European Journal of Finance, Taylor & Francis Journals, vol. 29(4), pages 466-481, March.
  • Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers 202117, University of Pretoria, Department of Economics.
• Jin Yeub Kim & Yongjun Kim & Myungkyu Shim, 2023. "Do Financial Analysts Herd?," Global Economic Review, Taylor & Francis Journals, vol. 52(3), pages 202-219, July.
  • Jin Yeub Kim & Yongjun Kim & Myungkyu Shim, 2019. "Do Financial Analysts Herd?," Working papers 2019rwp-161, Yonsei University, Yonsei Economics Research Institute.
• Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 111-122, January.
  • Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021. "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers 202118, University of Pretoria, Department of Economics.
• Elizabeth Omolola OYEDEPO & Joel Ede OWURU & Mutiu Gbade RASAKI & Britney LOUIS-OKEREKE, 2022. "Commercial Bank Credit and Agricultural Growth Outcomes in Nigeria: An Empirical Analysis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(2), pages 1-19.
• Samuel Tabot ENOW, 2023. "A Non-linear Dependency Test for Market Efficiency: Evidence from International Stock Markets," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(1), pages 1-12.
• GUNANTO, Adi, 2023. "Evaluation Of Prediction Accuracy Models For Bankruptcy In Indonesian Banks," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 27(2), pages 53-71, June.
• Oktaba Paweł & Grzywińska-Rąpca Małgorzata, 2023. "Modification of technical analysis indicators and increasing the rate of return on investment," Central European Economic Journal, Sciendo, vol. 10(57), pages 148-162, January.
• Sabek Amine, 2023. "Unveiling the diverse efficacy of artificial neural networks and logistic regression: A comparative analysis in predicting financial distress," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 9(1), pages 16-32, July.
• Gajdosikova Dominika & Valaskova Katarina, 2023. "Bankruptcy Prediction Model Development and its Implications on Financial Performance in Slovakia," Economics and Culture, Sciendo, vol. 20(1), pages 30-42, June.
• Čečević Bojana Novićević & Antić Ljilja & Jevtić Adrijana, 2023. "Stock Price Prediction of the Largest Automotive Competitors Based on the Monte Carlo Method," Economic Themes, Sciendo, vol. 61(3), pages 419-441, September.
• Goel Himanshu & Agarwal Monika & Chhabra Meghna & Som Bhupender Kumar, 2023. "The Predictive Power of Macroeconomic Variables on the Indian Stock Market Utilizing an Ann Model Approach: An Empirical Investigation Based on BSE Sensex," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 116-131, December.
• Yulianto Arief & Widiyanto Widiyanto & Witiastuti Rini, 2023. "Asymmetric Information in New Investment: Evidence in Indonesia," Foundations of Management, Sciendo, vol. 15(1), pages 177-186, January.
• Lozhachevska Olena & Taranenko Artem & Raikovska Inna & Pleskach Oleksandr & Kupchyshyna Olga & Shatskaya Zorina & Puzyryova Polina, 2023. "Financial Strategy of Management for Marketing and Communication Design in Smart Economy Conditions," Management Theory and Studies for Rural Business and Infrastructure Development, Sciendo, vol. 45(4), pages 314-333, December.
• Alpdoğan Hilal & Akal Mustafa & Kabasakal Ali & Görmüş Şakir, 2023. "Predicting Financial Crises and Signal Indicators in G7 Countries," Zagreb International Review of Economics and Business, Sciendo, vol. 26(1), pages 29-53.
• Marcin Chlebus & Artur Nowak, 2023. "From Alchemy to Analytics: Unleashing the Potential of Technical Analysis in Predicting Noble Metal Price Movement," Working Papers 2023-13, Faculty of Economic Sciences, University of Warsaw.
• Theologos Dergiades & Panos K. Pouliasis, 2023. "Should stock returns predictability be ‘hooked on’ long‐horizon regressions?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 718-732, January.
  • Theologos Dergiades & Panos K. Pouliasis, 2021. "Should Stock Returns Predictability be hooked on Long Horizon Regressions?," Discussion Paper Series 2021_03, Department of Economics, University of Macedonia, revised Feb 2021.
• Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023. "Commodity price uncertainty as a leading indicator of economic activity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
  • Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
  • Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
• Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
  • Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
• Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
  • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
• Marc S. Paolella & PaweÅ‚ Polak, 2023. "Density and Risk Prediction with Non-Gaussian COMFORT Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-37, March.
• Mohamad Hassan Shahrour & Mostafa Dekmak, 2023. "Intelligent stock prediction: A neural network approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-14, March.
  • Mohamad Hassan Shahrour & Mostafa Dekmak, 2022. "Intelligent Stock Prediction: A Neural Network Approach," Post-Print hal-03884171, HAL.
• Bolin Lei & Yuping Song, 2023. "The impact of contagion effects of media reports, investors’ sentiment and attention on the stock market based on HAR-RV model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-54, June.
• Amritkant Mishra & Ajit Kumar Dash & Shri Narayan Pandey & Amba Agarwal, 2023. "Dynamic spillover among the sectoral indices: Evidence from first and second waves of COVID-19," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(03), pages 1-22, September.
• Stefania Sylos Labini & Iryna Nyenno, 2023. "Risk Mapping As A Form Of Banking Immunity Response To Covid-19 Pandemic," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-22, December.
• Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2023. "How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-24, June.
• Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
• Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
• Agrrawal, Pankaj & Agarwal, Rajat, 2023. "A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency," EconStor Preprints 273555, ZBW - Leibniz Information Centre for Economics.
• Hyeongwoo Kim & Jisoo Son, 2023. "Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors," Auburn Economics Working Paper Series auwp2023-02, Department of Economics, Auburn University.
• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2023. "Superior Predictability of American Factors of the Dollar/Won Real Exchange Rate," Auburn Economics Working Paper Series auwp2023-05, Department of Economics, Auburn University.
• Kim, Hyeongwoo & Son, Jisoo, 2024. "What charge-off rates are predictable by macroeconomic latent factors?," Journal of Financial Stability, Elsevier, vol. 74(C).
  • Kim, Hyeongwoo & Son, Jisoo, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," MPRA Paper 116880, University Library of Munich, Germany.
  • Hyeongwoo Kim & Jisoo Son, 2024. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2024-01, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Jisoo Son, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2023-06, Department of Economics, Auburn University.
• Cem Kartal & Mürüvet Acar Karaboğa, 2023. "The Relationship Between the Country Selection Decision of Foreign Portfolio Investments and the Economic Freedom Index," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 38(120), pages 11-30, October.
• Bogdan Cosmin GOMOI, 2023. "Dynamic Diagnosis of the Financial Performances of a Company in the HoReCa Sector, Between Resilience and Sustainability," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(10), pages 23-32, October.
• Adi GUNANTO, 2023. "Mitigating Financial Distress: Analysis of Financial Indicators for Startup Companies in Indonesia," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(10), pages 49-59, October.
• Bogdan Cosmin GOMOI, 2023. "Methods of Financial Diagnosis Applicable in the Transport Area. A Vision of a Resilient and Sustainable Activity," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(11), pages 19-30, November.
• Dorina PLESCACI, 2023. "Entities Assessment Methods Based on the Notion of Goodwill," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(1), pages 10-18, January.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU, 2023. "Cost of the Products’ Life Cycle," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(3), pages 25-33, March.
• Bogdan Cosmin GOMOI, 2023. "Analysis of Results and Adjacent Structures in the Industry of Cosmetic and Perfumery Products," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(3), pages 34-45, March.
• Bogdan Cosmin GOMOI, 2023. "Analysis of the Main Financial Indicators Related to a Company in the Rolling Stock Industry," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(4), pages 39-50, April.
• Bogdan Cosmin GOMOI, 2023. "Analysis of the Structure, Reliability, Financial Balance and Indebtedness Related to a Company in the Transport Sector," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(5), pages 35-47, May.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2023. "Assessment Approaches: The Income Approach (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(6), pages 30-36, June.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2023. "Assessment Approaches: The Income Approach (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(5), pages 48-55, May.
• Bogdan Cosmin GOMOI, 2023. "Dynamic Diagnosis of a Company’s Financial Position from the Hospitality Industry," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(6), pages 19-29, June.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2023. "Assessment Approaches: The Income Approach (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(5), pages 48-55, May.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2023. "Assessment Approaches: The Income Approach (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(6), pages 30-36, June.
• Bogdan Cosmin GOMOI, 2023. "Analysis of the Static and Dynamic Financial Balance at the Level of Economic Operators," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(8), pages 6-15, August.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2023. "Shares – General Concepts and Assessment," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(9), pages 20-30, September.
• Harshit GURANI, 2023. "Predicting Stock Performance in Indian Mid-Cap and Small-Cap Firms: An Exploration of Financial Ratios Through Logistic Regression Analysis," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(9), pages 56-63, September.
• Bogdan Cosmin GOMOI, 2023. "Funding Strategies at the Level of an Entity," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 4(9), pages 8-19, September.
• Ömer Serkan Gülal & Gökhan Seçme & Eda Köse, 2023. "Predicting Financial Distress in the BIST Industrials Index: Evaluating Traditional Models and Clustering Techniques," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 8(4), pages 660-680.
• António Portugal Duarte & Fátima Sol Murta & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023. "Flip the Coin: Heads, Tails or Cryptocurrencies?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 70(SI), pages 1-18, February.
  • António Portugal Duarte & Fátima Sol & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023. "Flip the coin: Heads, tails or cryptocurrencies?," CeBER Working Papers 2023-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2024. "Message in a bottle: Forecasting wine prices," Journal of Wine Economics, Cambridge University Press, vol. 19(1), pages 64-91, February.
  • Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2023. "Message in a Bottle: Forecasting wine prices," LIDAM Discussion Papers LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
• Farmer, J. Doyne & Wiersema, Garbrand & Kemp, Esti, 2023. "Liquidity Spirals," INET Oxford Working Papers 2023-16, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Harrison Hong & Edward Shore, 2023. "Corporate Social Responsibility," Annual Review of Financial Economics, Annual Reviews, vol. 15(1), pages 327-350, November.
• Bartłomiej Lisicki, 2023. "Sektorowe zróżnicowanie efektu interwału akcji spółek z GPW w dobie pandemii COVID-19," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 174-194.
• Dainelli, Francesco & Bet, Gianmarco & Fabrizi, Eugenio, 2024. "The financial health of a company and the risk of its default: Back to the future," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  • Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
• Olkhov, Victor, 2023. "Economic complexity limits accuracy of price probability predictions by gaussian distributions," MPRA Paper 118373, University Library of Munich, Germany.
  • Victor Olkhov, 2023. "Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions," Papers 2309.02447, arXiv.org, revised Apr 2024.
• Victor Olkhov, 2023. "Theoretical Economics as Successive Approximations of Statistical Moments," Papers 2310.05971, arXiv.org, revised Apr 2024.
• Darab Molkabadi, Saeid, 2023. "Transition and Propagations of Oil Shock in the Oil Exporting Countries: Lessons from Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, vol. 28(4), pages 111-139, December.
• Silvija Vlah Jeric, 2023. "Analysis Of The Financial Performance Of Machine Learning Models For Predicting The Direction Of Changes In Cee And See Stock Market Indices With Different Classification Evaluation Metrics," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 32(2), pages 533-545, december.
• Afees Salisu & Tirimisiyu Oloko, 2023. "Climate Risk Measures - A Review," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(1), pages 1-4.
• Afees Salisu & Philip Omoke & Olalekan Fadiya, 2023. "Climate Policy Uncertainty and Crude Oil Market Volatility," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(1), pages 1-5.
• Kazeem Isah & Adedapo Odebode & Oluwafemi Ogunjemilua, 2023. "Does Climate Risk Amplify Oil Market Volatility?," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-5.
• Vladimir Belkin, 2023. "US Federal Reserve Rate and Solar Activity (1955-2022): Proof of Strong Correlations," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 220-229.
• Chinara Azizova & Bruno Feunou & James Kyeong, 2023. "Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency," Discussion Papers 2023-19, Bank of Canada.
• Bruno Feunou & James Kyeong, 2023. "Finding the balance—measuring risks to inflation and to GDP growth," Staff Analytical Notes 2023-18, Bank of Canada.
• Onder BUBERKOKU, 2023. "Market Risk Measurement in the Context of Basel IV Regulations," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 17(1), pages 1-38.
• Sergio Mayordomo & Irene Roibás, 2023. "La traslación de los tipos de interés de mercado a los tipos de interés bancarios," Occasional Papers 2312, Banco de España.
• Sergio Mayordomo & Irene Roibás, 2023. "The pass-through of market interest rates to bank interest rates," Occasional Papers 2312, Banco de España.
• Melo-Velandia, Luis Fernando & Romero, José Vicente & Ramírez-González, Mahicol Stiben, 2025. "The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach," Research in International Business and Finance, Elsevier, vol. 73(PA).
  • Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers 105, Red Investigadores de Economía.
  • Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
• Martha, López & Eduardo, Sarmiento Gómez, 2023. "Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia," Revista de Economía del Rosario, Universidad del Rosario, vol. 26(2), pages 1-29, Diciembre.
  • Martha López & Eduardo Sarmiento G., 2023. "Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia," Borradores de Economia 1243, Banco de la Republica de Colombia.
• Trần Kim Toại & Võ Thị Xuân Hạnh & Võ Minh Huân, 2023. "Áp dụng hồi quy Ridge và mạng nơron nhân tạo để dự báo giá ICO sau sáu tháng," TẠP CHÍ KHOA HỌC ĐẠI HỌC MỞ THÀNH PHỐ HỒ CHÍ MINH - KINH TẾ VÀ QUẢN TRỊ KINH DOANH, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 18(4), pages 131-144.
• Brum-Civelli, Conrado & Fried-Gindel, Alejandro & Garcia-Hiernaux, Alfredo, 2024. "IFCI-SA: International financial conditions index for South American economies," Research in International Business and Finance, Elsevier, vol. 72(PA).
  • Conrado Brum Civelli & Alejandro Fried Gindel & Alfredo Garcia-Hiernaux, 2023. "IFCI-SA. An International Financial Conditions Index for South American Economies," Documentos de trabajo 2023006, Banco Central del Uruguay.
• Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE 2023018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2022. "The Horizon of Investors' Information and Corporate Investment," Working Papers hal-03890720, HAL.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2023. "The Horizon of Investors' Information and Corporate Investment," Swiss Finance Institute Research Paper Series 23-03, Swiss Finance Institute.
  • Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2022. "The Horizon of Investors' Information and Corporate Investment," HEC Research Papers Series 1462, HEC Paris.
• Bryan T. Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023. "Universal Portfolio Shrinkage," NBER Working Papers 32004, National Bureau of Economic Research, Inc.
  • Bryan Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023. "Universal Portfolio Shrinkage," Swiss Finance Institute Research Paper Series 23-119, Swiss Finance Institute.
• Ricardo Crisósotomo, 2023. "Medición del riesgo de transición en fondos de inversión," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
• Ramiro Losada, Albert Martínez Pastor, 2023. "Emisores de valores españoles y su relación con el cambio climático," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
• Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.
  • Ricardo Crisóstomo, 2023. "Measuring Transition Risk in Investment Funds," CNMV Working Papers CNMV Working Papers no. 8, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
  • Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE 2023018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bauwens, Luc & Otranto, Edoardo, 2023. "Realized Covariance Models with Time-varying Parameters and Spillover Effects," LIDAM Discussion Papers CORE 2023019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Reinders, Henk Jan & Schoenmaker, Dirk & Van Dijk, Mathijs, 2023. "Climate Risk Stress Testing: A Conceptual Review," CEPR Discussion Papers 17921, C.E.P.R. Discussion Papers.
• Lawson, Jeremy & Moss, Anna & Popa, Alexandre & Cairns, Eva & Mackenzie, Craig, 2023. "A Bespoke, probabilistic approach to climate scenario analysis," CEPR Discussion Papers 17944, C.E.P.R. Discussion Papers.
• Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
  • Ron Kaniel & Zihan Lin & Markus Pelger & Stijn Van Nieuwerburgh, 2022. "Machine-Learning the Skill of Mutual Fund Managers," NBER Working Papers 29723, National Bureau of Economic Research, Inc.
  • Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-Learning the Skill of Mutual Fund Managers," CEPR Discussion Papers 18129, C.E.P.R. Discussion Papers.
• Kremens, Lukas & Martin, Ian & Varela, Liliana, 2023. "Long-Horizon Exchange Rate Expectations," CEPR Discussion Papers 18412, C.E.P.R. Discussion Papers.
• Martin, Ian & Shi, Ran, 2023. "Forecasting crashes with a smile," CEPR Discussion Papers 18524, C.E.P.R. Discussion Papers.
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2024. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," Finance Research Letters, Elsevier, vol. 61(C).
  • Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
• Merche Galisteo & Isabel Morillo & Teresa Preixens, 2023. "CVA with wrong-way risk and correlation between defaults: An application to an interest rate swap," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 1(3), pages 197-208, Septiembr.
• Santoni, Alessandro & Rossignol, Ghislain & Akhouen, Richard, 2023. "Wind-down of bank trading books," Occasional Paper Series 316, European Central Bank.
• Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic default and return predictability in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 149(3), pages 349-377.
  • Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016. "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2016-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2023-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Favero, Carlo A. & Melone, Alessandro & Tamoni, Andrea, 2023. "Anomaly Predictability with the Mean-Variance Portfolio," Working Paper Series 2023-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Mutambara Tatenda Emmanuel & Nyatanga Phocenah & McCullough Kerry, 2023. "The Impact of Working Capital and Macroeconomic Variables on the Profitability of Listed Industrial Firms in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 13(5), pages 32-42, September.
• Kolawole Ibrahim Gbolahan, 2023. "An Empirical Investigation of Bitcoin Hedging Capabilities against Inflation using VECM: The Case of United States, Eurozone, Philippines, Ukraine, Canada, India, and Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 13(6), pages 91-100, November.
• Ayi Ahadiat & Fajrin Satria Dwi Kesumah & Rialdi Azhar & Febryan Kusuma Wisnu, 2023. "Strategic Decision-Making on Mining Sector Company Stock Prices and Economic Variable (State Space Model Application)," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 177-184, May.
• Mehdi Abid, 2023. "How Does Renewable Energy Consumption Affect Environmental Quality in Saudi Arabia? Evidence from Quantile Regressions," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 574-578, July.
• Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
• Forte, Santiago & Lovreta, Lidija, 2023. "Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility," Journal of Corporate Finance, Elsevier, vol. 79(C).
• Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
• Skavysh, Vladimir & Priazhkina, Sofia & Guala, Diego & Bromley, Thomas R., 2023. "Quantum monte carlo for economics: Stress testing and macroeconomic deep learning," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
• Tumala, Mohammed M. & Salisu, Afees A. & Gambo, Ali I., 2023. "Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 707-717.
• Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
• Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
• Zhao, Shangwei & Xie, Tian & Ai, Xin & Yang, Guangren & Zhang, Xinyu, 2023. "Correcting sample selection bias with model averaging for consumer demand forecasting," Economic Modelling, Elsevier, vol. 123(C).
• Tan, Xilong & Tao, Yubo, 2023. "Trend-based forecast of cryptocurrency returns," Economic Modelling, Elsevier, vol. 124(C).
• Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
• Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Garg, Jyoti & Karmakar, Madhusudan & Paul, Samit, 2023. "A study on equity home bias using vine copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Alexakis, Christos & Chantziaras, Antonios & Economou, Fotini & Eleftheriou, Konstantinos & Grose, Christos, 2023. "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  • Christos Alexakis & Antonios Chantziaras & Fotini Economou & Konstantinos Eleftheriou & Christos Grose, 2023. "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," Post-Print hal-04102932, HAL.
• Caiado, Jorge & Lúcio, Francisco, 2023. "Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
• Wang, Yide & Chen, Zan & Ji, Xiaodong, 2023. "Cross-market information transmission and stock market volatility prediction," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
• Yu, Deshui & Chen, Li & Li, Luyang, 2023. "Time-varying predictability of the long horizon equity premium based on semiparametric regressions," Economics Letters, Elsevier, vol. 224(C).
• Ardakani, Omid M., 2023. "Capturing information in extreme events," Economics Letters, Elsevier, vol. 231(C).
• Gribisch, Bastian & Hartkopf, Jan Patrick, 2023. "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, vol. 235(1), pages 43-64.
• Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
• Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
  • Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
• Andersen, Torben G. & Li, Yingying & Todorov, Viktor & Zhou, Bo, 2023. "Volatility measurement with pockets of extreme return persistence," Journal of Econometrics, Elsevier, vol. 237(2).
• Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  • Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
  • Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
• Berrisch, Jonathan & Ziel, Florian, 2023. "CRPS learning," Journal of Econometrics, Elsevier, vol. 237(2).
• Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Extensions to IVX methods of inference for return predictability," Journal of Econometrics, Elsevier, vol. 237(2).
  • Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
  • Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers 29779, University of Essex, Essex Business School.
• Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
  • Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
• Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
• Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
• Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
• Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
• Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
• Wasiuzzaman, Shaista & Muhd Azwan, Ayu Nadhirah & Hj Nordin, Aina Nazurah, 2023. "Analysis of the performance of Islamic gold-backed cryptocurrencies during the bear market of 2020," Emerging Markets Review, Elsevier, vol. 54(C).
• Stoupos, Nikolaos & Nikas, Christos & Kiohos, Apostolos, 2023. "Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets," Emerging Markets Review, Elsevier, vol. 54(C).
• Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
• Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
  • Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
  • Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2021. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 202109, University of Liverpool, Department of Economics.
• Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
• Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
• Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
• Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
• Chan, Ka Kei & Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2023. "Price convergence between credit default swap and put option: New evidence," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 188-213.
• Brennan, M.J. & Taylor, Alex P., 2023. "Expected returns and risk in the stock market," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 276-300.
• Lee, Cheol Woo & Kang, Kyu Ho, 2023. "Estimating and testing skewness in a stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 445-467.
• Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
• Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023. "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 369-389.
• Wang, Keli & Liu, Xiaoquan & Ye, Wuyi, 2023. "Intraday VaR: A copula-based approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
• Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023. "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, vol. 74(C).
  • H. Rad & R. Low & J. Miffre & R. Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
• Qu, Hui & Li, Guo, 2023. "Multi-perspective investor attention and oil futures volatility forecasting," Energy Economics, Elsevier, vol. 119(C).
• Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
• Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
• Sohag, Kazi & Hassan, M. Kabir & Bakhteyev, Stepan & Mariev, Oleg, 2023. "Do green and dirty investments hedge each other?," Energy Economics, Elsevier, vol. 120(C).
• Abdollahi, Hooman, 2023. "Oil price volatility and new evidence from news and Twitter," Energy Economics, Elsevier, vol. 122(C).
• Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
  • M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
• Tian, Guangning & Peng, Yuchao & Meng, Yuhao, 2023. "Forecasting crude oil prices in the COVID-19 era: Can machine learn better?," Energy Economics, Elsevier, vol. 125(C).
• Thakur, Jagruti & Hesamzadeh, Mohammad Reza & Date, Paresh & Bunn, Derek, 2023. "Pricing and hedging wind power prediction risk with binary option contracts," Energy Economics, Elsevier, vol. 126(C).
• Nonejad, Nima, 2023. "Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models," Energy Economics, Elsevier, vol. 126(C).
• Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
• Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
• Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda & McCarten, Matthew & Tan, Eric K.M., 2023. "Climate transition risk in U.S. loan portfolios: Are all banks the same?," International Review of Financial Analysis, Elsevier, vol. 85(C).
• Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2023. "In search of climate distress risk," International Review of Financial Analysis, Elsevier, vol. 85(C).
• Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
• Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
• Zhang, Ning & Su, Xiaoman & Qi, Shuyuan, 2023. "An empirical investigation of multiperiod tail risk forecasting models," International Review of Financial Analysis, Elsevier, vol. 86(C).
• Abakah, Emmanuel Joel Aikins & Nasreen, Samia & Tiwari, Aviral Kumar & Lee, Chien-Chiang, 2023. "U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging," International Review of Financial Analysis, Elsevier, vol. 87(C).
• Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García-Rubio, Noelia, 2023. "Prediction and interpretation of daily NFT and DeFi prices dynamics: Inspection through ensemble machine learning & XAI," International Review of Financial Analysis, Elsevier, vol. 87(C).
• Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
• Ammari, Aymen & Chebbi, Kaouther & Ben Arfa, Nouha, 2023. "How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?," International Review of Financial Analysis, Elsevier, vol. 88(C).
• Bouazizi, Tarek & Galariotis, Emilios & Guesmi, Khaled & Makrychoriti, Panagiota, 2023. "Investigating the nature of interaction between crypto-currency and commodity markets," International Review of Financial Analysis, Elsevier, vol. 88(C).
• Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
• Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).
• Basse, Tobias & Desmyter, Steven & Saft, Danilo & Wegener, Christoph, 2023. "Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors," International Review of Financial Analysis, Elsevier, vol. 89(C).
• Zhao, Qi & Xu, Weijun & Ji, Yucheng, 2023. "Predicting financial distress of Chinese listed companies using machine learning: To what extent does textual disclosure matter?," International Review of Financial Analysis, Elsevier, vol. 89(C).
• Proelss, Juliane & Sévigny, Stéphane & Schweizer, Denis, 2023. "GameFi: The perfect symbiosis of blockchain, tokens, DeFi, and NFTs?," International Review of Financial Analysis, Elsevier, vol. 90(C).
• Procasky, William J. & Yin, Anwen, 2023. "The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
• Zakamulin, Valeriy & Giner, Javier, 2023. "Optimal trend-following with transaction costs," International Review of Financial Analysis, Elsevier, vol. 90(C).
• Yu, Jize & Zhang, Li & Peng, Lijuan & Wu, Rui, 2023. "Which component of air quality index drives stock price volatility in China: a decomposition-based forecasting method," Finance Research Letters, Elsevier, vol. 51(C).
• Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2023. "Do travel uncertainty and invasion rhetoric spur Metaverse financial asset? – Gauging the role of media influence," Finance Research Letters, Elsevier, vol. 51(C).
• Yamani, Ehab, 2023. "The informational role of fund flow in the profitable predictability of mutual funds," Finance Research Letters, Elsevier, vol. 51(C).
• Li, Xingyi & Gan, Kai & Zhou, Qi, 2023. "Dynamic volatility connectedness among cryptocurrencies and China's financial assets in standard times and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 51(C).
• Díaz-Mendoza, Ana Carmen & Pardo, Ángel, 2023. "Water and traditional asset classes," Finance Research Letters, Elsevier, vol. 52(C).
• Berrisch, Jonathan & Pappert, Sven & Ziel, Florian & Arsova, Antonia, 2023. "Modeling volatility and dependence of European carbon and energy prices," Finance Research Letters, Elsevier, vol. 52(C).
• Xie, Yutang & Cao, Yujia & Li, Xiaotao, 2023. "The importance of trade policy uncertainty to energy consumption in a changing world," Finance Research Letters, Elsevier, vol. 52(C).
• Bouteska, Ahmed & Büyükoğlu, Burak & Ekşi, Ibrahim Halil, 2023. "How effective are banking regulations on banking performance and risk? Evidence from selected European countries," Finance Research Letters, Elsevier, vol. 53(C).
• Soria, Jorge & Moya, Jorge & Mohazab, Amin, 2023. "Optimal mining in proof-of-work blockchain protocols," Finance Research Letters, Elsevier, vol. 53(C).
• García, Javier Sánchez & Rambaud, Salvador Cruz, 2023. "Macrofinancial determinants of volatility transmission in a network of European sovereign debt markets," Finance Research Letters, Elsevier, vol. 53(C).
• Cheng, Tingting & Jiang, Shan & Zhao, Albert Bo & Jia, Zhimin, 2023. "Complete subset averaging methods in corporate bond return prediction," Finance Research Letters, Elsevier, vol. 54(C).
• Wilson, Linus, 2023. "Profitable timing of the stock market with the senior loan officer survey," Finance Research Letters, Elsevier, vol. 54(C).
• Yang, Xinyao & Liu, Zhaoyi & Li, Tao, 2023. "Individual investors’ dividend tax reform and stock price crash risk," Finance Research Letters, Elsevier, vol. 54(C).
• Kiss, Tamás & Kladívko, Kamil & Silfverberg, Oliwer & Österholm, Pär, 2023. "Market participants or the random walk – who forecasts better? Evidence from micro-level survey data," Finance Research Letters, Elsevier, vol. 54(C).
  • Kiss, Tamás & Kladivko, Kamil & Silfverberg, Oliwer & Österholm, Pär, 2023. "Market Participants or the Random Walk – Who Forecasts Better? Evidence from Micro Level Survey Data," Working Papers 2023:2, Örebro University, School of Business.
• Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
• Berger, Theo, 2023. "Explainable artificial intelligence and economic panel data: A study on volatility spillover along the supply chains," Finance Research Letters, Elsevier, vol. 54(C).
• Ham, Hyuna & Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2023. "How do investors react to overnight returns? Evidence from Korea," Finance Research Letters, Elsevier, vol. 54(C).
• Mueller, Lukas & Bartel, Merlin & Schiereck, Dirk, 2023. "Europe's gone “right” – A comparative study of stock market reactions to populist success in Sweden and Italy," Finance Research Letters, Elsevier, vol. 55(PA).
• Kawakami, Tabito, 2023. "Quantile prediction for Bitcoin returns using financial assets’ realized measures," Finance Research Letters, Elsevier, vol. 55(PA).
• Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
• Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).
• Chang, Danting & Li, Feng, 2023. "Uncovering the information content in abnormal institutional visits," Finance Research Letters, Elsevier, vol. 55(PB).
• Wang, Cindy S.H. & Fan, Rui & Xie, Yiqiang, 2023. "Market systemic risk, predictability and macroeconomics news," Finance Research Letters, Elsevier, vol. 56(C).
• Wu, Xinyu & Zhao, An & Cheng, Tengfei, 2023. "A Real-Time GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 56(C).
• Hartkopf, Jan Patrick & Reh, Laura, 2023. "Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures," Finance Research Letters, Elsevier, vol. 56(C).
• Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).
• Gao, Wei & Ju, Ming & Yang, Tongyang, 2023. "Severe weather and peer-to-peer farmers’ loan default predictions: Evidence from machine learning analysis," Finance Research Letters, Elsevier, vol. 58(PA).
• Neururer, Thaddeus, 2023. "Variance risk premiums and aging firms," Finance Research Letters, Elsevier, vol. 58(PA).
• He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
• Braun, Declan & Han, Yue & Wang, Heng Emily, 2023. "The application of feed forward neural networks to merger arbitrage: A return-based analysis," Finance Research Letters, Elsevier, vol. 58(PB).
• Zhang, Zhihao, 2023. "Are climate risks helpful for understanding inflation in BRICS countries?," Finance Research Letters, Elsevier, vol. 58(PB).
• Luo, Tao & Zhang, Lixia & Sun, Huaping & Bai, Jiancheng, 2023. "Enhancing exchange rate volatility prediction accuracy: Assessing the influence of different indices on the USD/CNY exchange rate," Finance Research Letters, Elsevier, vol. 58(PB).
• Shu, Qi & Xiong, Heng & Jiang, Wenjun & Mamon, Rogemar, 2023. "A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models," Finance Research Letters, Elsevier, vol. 58(PC).
• Zhao, Chencheng & Yuan, Xianghui & Long, Jun & Jin, Liwei & Guan, Bowen, 2023. "Financial indicators analysis using machine learning: Evidence from Chinese stock market," Finance Research Letters, Elsevier, vol. 58(PD).
• Zhang, Junyu & Ruan, Xinfeng & Zhang, Jin E., 2023. "Do short-term market swings improve realized volatility forecasts?," Finance Research Letters, Elsevier, vol. 58(PD).
• Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Unveiling the diversification capabilities of carbon markets in NFT portfolios," Finance Research Letters, Elsevier, vol. 58(PD).
• Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
• Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
• Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
• Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and state-level stock market realized volatility," Journal of Financial Markets, Elsevier, vol. 66(C).
  • Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Climate Risks and State-Level Stock-Market Realized Volatility," Working Papers 202246, University of Pretoria, Department of Economics.
• Dichtl, Hubert & Drobetz, Wolfgang & Otto, Tizian, 2023. "Forecasting Stock Market Crashes via Machine Learning," Journal of Financial Stability, Elsevier, vol. 65(C).
• Zeng, Hui & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2023. "Technical indicators and cross-sectional expected returns," Global Finance Journal, Elsevier, vol. 56(C).
• Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
• Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
• Hertrich, Daniel, 2023. "Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
• Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
• Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2023. "Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
• Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2023. "Forecasting expected shortfall: Should we use a multivariate model for stock market factors?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 314-331.
  • Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jun 2021.
• Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
• Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
  • Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
• Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
  • Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
• Guo, Laite, 2023. "Two faces of the size effect," Journal of Banking & Finance, Elsevier, vol. 146(C).
• Caglayan, Mustafa O. & Lawrence, Edward & Reyes-Peña, Robinson, 2023. "Hot potatoes: Underpricing of stocks following extreme negative returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
• Krivorotov, George, 2023. "Machine learning-based profit modeling for credit card underwriting - implications for credit risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
• El Ghoul, Sadok & Guedhami, Omrane & Wei, Zuobao & Zhu, Yicheng, 2023. "Does public corruption affect analyst forecast quality?," Journal of Banking & Finance, Elsevier, vol. 154(C).
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
• Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
• Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
  • Ron Kaniel & Zihan Lin & Markus Pelger & Stijn Van Nieuwerburgh, 2022. "Machine-Learning the Skill of Mutual Fund Managers," NBER Working Papers 29723, National Bureau of Economic Research, Inc.
  • Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-Learning the Skill of Mutual Fund Managers," CEPR Discussion Papers 18129, C.E.P.R. Discussion Papers.
• Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
• DeMiguel, Victor & Gil-Bazo, Javier & Nogales, Francisco J. & Santos, André A.P., 2023. "Machine learning and fund characteristics help to select mutual funds with positive alpha," Journal of Financial Economics, Elsevier, vol. 150(3).
• Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
  • Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
• Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  • John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
  • John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2023. "Exploring volatility of crude oil intraday return curves: A functional GARCH-X model," Journal of Commodity Markets, Elsevier, vol. 32(C).
• Orlowski, Lucjan T., 2023. "How susceptible is the European financial stability to economic policy uncertainty?," Journal of Policy Modeling, Elsevier, vol. 45(4), pages 864-875.
• Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
• Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
• Teplova, Tamara & Sokolova, Tatiana & Kissa, David, 2023. "Revealing stock liquidity determinants by means of explainable AI: The role of ESG before and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 86(PB).
• Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
• Li, Ang & Liu, Mark & Sheather, Simon, 2023. "Predicting stock splits using ensemble machine learning and SMOTE oversampling," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
• Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
• Chen, Zhiyu & Xu, Yun & Wang, Yu, 2023. "Can convertible bond trading predict stock returns? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
• Lu, Yueliang (Jacques) & Tian, Weidong, 2023. "An on-line machine learning return prediction," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
• Limkriangkrai, Manapon & Chai, Daniel & Zheng, Gaoping, 2023. "Market intraday momentum: APAC evidence," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
• Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
  • Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Serna, Gregorio, 2023. "On the predictive ability of conditional market skewness," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 186-191.
• Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 1-13.
• Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
• Hong, Yanran & Yu, Jize & Su, Yuquan & Wang, Lu, 2023. "Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 358-368.
• Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
• Li, Zepei & Huang, Haizhen, 2023. "Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 31-45.
• Hoang, Lai T. & Baur, Dirk G., 2023. "Cryptocurrencies are not immune to coronavirus: Evidence from investor fear," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1444-1463.
• Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting crude oil prices: A reduced-rank approach," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 698-711.
• Orte, Francisco & Mira, José & Sánchez, María Jesús & Solana, Pablo, 2023. "A random forest-based model for crypto asset forecasts in futures markets with out-of-sample prediction," Research in International Business and Finance, Elsevier, vol. 64(C).
• Zhang, Qun & Zhang, Peihui & Liu, Hao, 2023. "Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
• Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You & Uddin, Gazi Salah, 2023. "Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
• Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
• Liu, Yujun & Li, Zhongfei & Nekhili, Ramzi & Sultan, Jahangir, 2023. "Forecasting cryptocurrency returns with machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
• González, Marta Ramos & Ureña, Antonio Partal & Fernández-Aguado, Pilar Gómez, 2023. "Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 64(C).
• He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
• Mtiraoui, Amine & Boubaker, Heni & BelKacem, Lotfi, 2023. "A hybrid approach for forecasting bitcoin series," Research in International Business and Finance, Elsevier, vol. 66(C).
• Duan, Kun & Wang, Rui & Chen, Shun & Ge, Lei, 2023. "Exploring the predictability of attention mechanism with LSTM: Evidence from EU carbon futures prices," Research in International Business and Finance, Elsevier, vol. 66(C).
• Grudniewicz, Jan & Ślepaczuk, Robert, 2023. "Application of machine learning in algorithmic investment strategies on global stock markets," Research in International Business and Finance, Elsevier, vol. 66(C).
• Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Long, Jian-You & Zhou, Yang, 2023. "Forecasting stock market volatility under parameter and model uncertainty," Research in International Business and Finance, Elsevier, vol. 66(C).
• Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Ghosh, Sudeshna & Doğan, Buhari, 2023. "Dynamic effect of Bitcoin, fintech and artificial intelligence stocks on eco-friendly assets, Islamic stocks and conventional financial markets: Another look using quantile-based approaches," Technological Forecasting and Social Change, Elsevier, vol. 192(C).
• Gary Moore & Marc William Simpson, 2023. "Which sustainable growth rate is best at forecasting actual growth?," American Journal of Business, Emerald Group Publishing Limited, vol. 38(4), pages 173-192, June.
• Valeriia Baklanova & Aleksei Kurkin & Tamara Teplova, 2023. "Investor sentiment and the NFT hype index: to buy or not to buy?," China Finance Review International, Emerald Group Publishing Limited, vol. 14(3), pages 522-548, December.
• Rim El Khoury & Walid Mensi & Muneer M. Alshater & Sanghoon Kang, 2023. "Extreme risk spillovers and hedging strategies between Indonesia sectorial stocks and commodity markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 20(1), pages 428-467, April.
• Norzalina Ahmad & Hazrul Shahiri & Safwan Mohd Nor & Mukhriz Izraf Azman Aziz, 2023. "Connectedness analysis of price return index among Malaysian economic sectors," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 16(4), pages 856-872, February.
• Taufik Faturohman & David Christian, 2023. "Predictive Blend: Fundamental Indexing with Markowitz Mean Variance Portfolio in Indonesia Stock Exchange," International Symposia in Economic Theory and Econometrics, in: Comparative Analysis of Trade and Finance in Emerging Economies, volume 31, pages 101-111, Emerald Group Publishing Limited.
• Ari Prasetyo & Taufik Faturohman, 2023. "Financial Distress and Financial Performance Analysis of Highway Companies Before and During the COVID-19 Pandemic: Evidence from Indonesia Stock Exchange," International Symposia in Economic Theory and Econometrics, in: Comparative Analysis of Trade and Finance in Emerging Economies, volume 31, pages 151-165, Emerald Group Publishing Limited.
• Isti Yuli Ismawati & Taufik Faturohman, 2023. "Credit Risk Scoring Model for Consumer Financing: Logistic Regression Method," International Symposia in Economic Theory and Econometrics, in: Comparative Analysis of Trade and Finance in Emerging Economies, volume 31, pages 167-189, Emerald Group Publishing Limited.
• Amit Pandey & Anil Kumar Sharma, 2023. "Indian institutional investor's portfolio concentration decision: skill and performance," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 21(1), pages 66-95, December.
• Özgür İcan & Taha Buğra Çelik, 2023. "Weak-form market efficiency and corruption: a cross-country comparative analysis," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 7(1), pages 72-90, April.
• Cheol-Won Yang, 2023. "Investment strategy via analyst report text mining," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 31(2), pages 98-120, March.
• Victoria Cherkasova & Elena Fedorova & Igor Stepnov, 2023. "Market reaction to firms' investments in CSR projects," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 28(55), pages 44-59, March.
• Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
  • El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022. "On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies," MPRA Paper 114556, University Library of Munich, Germany.
• Rajyalakshmi Kandukuri, 2023. "An analysis of stockbroking frauds and regulatory action in India," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 31(4), pages 1037-1046, June.
• Nader Trabelsi, 2023. "Global hidden factors predicting financial distress in Gulf Arab states: a quantile–time–frequency analysis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 15(4/5), pages 284-312, May.
• Syed Alamdar Ali Shah & Bayu Arie Fianto & Batool Imtiaz & Raditya Sukmana & Rafiatul Adlin Hj Mohd Ruslan, 2023. "Shariah review of Brownian motion of Islamic stock market elements: establishing the benchmarks of Islamic econophysics," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, vol. 14(8), pages 1182-1194, January.
• Vladimir Dmitrievich Milovidov, 2023. "Redefining investors' goals in the post–normal world," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 24(3), pages 371-385, March.
• Ikhlaas Gurrib & Firuz Kamalov & Olga Starkova & Elgilani Eltahir Elshareif & Davide Contu, 2023. "Drivers of the next-minute Bitcoin price using sparse regressions," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(2), pages 410-431, October.
• Justyna Bogolebska, 2023. "Catering Theory of Dividend Policy in Polish Listed Companies," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 118-129.
• Justyna Bogolebska, 2023. "Catering Theory of Dividend Policy in Polish Listed Companies," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 197-208.
• Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024. "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 636-669.
  • Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023. "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers 34837, University of Essex, Essex Business School.
• Hung-Hsi Huang & Yi-Ru Lin, 2023. "Forecasting VIX with Stock and Oil Prices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(1), pages 24-55, January.
• Pablo Pincheira-Brown & Nicolás Hardy & Cristobal Henrriquez & Ignacio Tapia & Andrea Bentancor, 2023. "Forecasting Base Metal Prices with an International Stock Index," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(3), pages 277-302, October.
  • Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021. "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper 107828, University Library of Munich, Germany.
• Michael Smolyansky, 2023. "End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth and Stock Returns," Finance and Economics Discussion Series 2023-041, Board of Governors of the Federal Reserve System (U.S.).
• Michael Smolyansky, 2023. "End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth and Stock Returns," Finance and Economics Discussion Series 2023-041, Board of Governors of the Federal Reserve System (U.S.).
• Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
• Alexandr Patalaha & Maria A. Shchepeleva, 2023. "Bank Crisis Management Policies and the New Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 43-60, December.
• Dean Fantazzini & Yufeng Xiao, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," Econometrics, MDPI, vol. 11(3), pages 1-73, August.
  • Fantazzini, Dean & Xiao, Yufeng, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," MPRA Paper 118435, University Library of Munich, Germany.
• Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Mathematics, MDPI, vol. 11(13), pages 1-27, July.
  • Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Renee van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Working Papers 202311, University of Pretoria, Department of Economics.
• António Portugal Duarte & Fátima Sol Murta & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023. "Flip the Coin: Heads, Tails or Cryptocurrencies?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 70(SI), pages 1-18, February.
  • António Portugal Duarte & Fátima Sol & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023. "Flip the coin: Heads, tails or cryptocurrencies?," CeBER Working Papers 2023-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Alexakis, Christos & Chantziaras, Antonios & Economou, Fotini & Eleftheriou, Konstantinos & Grose, Christos, 2023. "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  • Christos Alexakis & Antonios Chantziaras & Fotini Economou & Konstantinos Eleftheriou & Christos Grose, 2023. "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," Post-Print hal-04102932, HAL.
• Lamia Haouam, 2023. "The Role of Modern Models in Predicting Financial Failure of Economic Institutions: An Empirical Study on Saidal group for the Period (2017-2020)," Post-Print hal-04183444, HAL.
• Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023. "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, vol. 74(C).
  • H. Rad & R. Low & J. Miffre & R. Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
• Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
  • M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
• Benbekhti Seyf Eddine & Boulila Hadjer & Benbouziane Mohamed, 2023. "Islamic stocks, conventional stock market, or cryptocurrencies? Looking for a Safe Haven during Covid-19," Post-Print halshs-04521347, HAL.
• Nariman Djoudi & Kheira Belhamri, 2023. "Prediction of Financial Failure Using the Altman and Sherrod Model Study of Saidal Institution of Medea Province between 2017 - 2020," Post-Print halshs-04521389, HAL.
• Yannick Malevergne & Didier Sornette & Ran Wei, 2025. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Quantitative Finance, Taylor & Francis Journals, vol. 25(4), pages 591-616, April.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2021. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series 21-96, Swiss Finance Institute.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2023. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Working Papers hal-04012267, HAL.
• Manuel Benazić & Gordana Kordić, 2023. "Modeliranje I Prognoziranje Volatilnosti Sektorskih Indeksa Zagrebačke Burze: Multivarijatni Garch Model," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 74(5), pages 663-700.
• Axelsson, Birger & Song, Han-Suck, 2023. "Univariate Forecasting for REITs with Deep Learning: A Comparative Analysis with an ARIMA Model," Working Paper Series 23/10, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, revised 14 Nov 2023.
• Kiss, Tamás & Kladívko, Kamil & Silfverberg, Oliwer & Österholm, Pär, 2023. "Market participants or the random walk – who forecasts better? Evidence from micro-level survey data," Finance Research Letters, Elsevier, vol. 54(C).
  • Kiss, Tamás & Kladivko, Kamil & Silfverberg, Oliwer & Österholm, Pär, 2023. "Market Participants or the Random Walk – Who Forecasts Better? Evidence from Micro Level Survey Data," Working Papers 2023:2, Örebro University, School of Business.
• Artem Aganin & Vyacheslav Manevich & Anatoly Peresetsky & Polina Pogorelova, 2023. "Comparison of Cryptocurrency and Stock Market Volatility Forecast Models," HSE Economic Journal, National Research University Higher School of Economics, vol. 27(1), pages 49-77.
• Artem Potapov & Marat Kurbangaleev, 2023. "Comparison of Central Counterparty Risk Assessment Approaches," HSE Economic Journal, National Research University Higher School of Economics, vol. 27(2), pages 196-219.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Wen-Chuan Miao & Hsiou-Wei Lin, 2023. "Return On Equity Estimates And Fourquadrant Square Position: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 17(1), pages 1-16.
• Terrance Jalbert & Jonathan D. Stewart, 2023. "A Comprehensive Retirement Financial Planning Tool Una Herramienta Integral De Planificacion Financiera Para La Jubilacion," Revista Global de Negocios, The Institute for Business and Finance Research, vol. 14(1), pages 13-44.
  • Terrance Jalbert & Jonathan D. Stewart, 2023. "A Comprehensive Retirement Financial Planning Tool Una Herramienta Integral De Planificacion Financiera Para La Jubilacion," Revista Global de Negocios, The Institute for Business and Finance Research, vol. 11(1), pages 13-44.
• Terrance Jalbert & Jonathan D. Stewart, 2023. "A Comprehensive Retirement Financial Planning Tool Una Herramienta Integral De Planificacion Financiera Para La Jubilacion," Revista Global de Negocios, The Institute for Business and Finance Research, vol. 11(1), pages 13-44.
  • Terrance Jalbert & Jonathan D. Stewart, 2023. "A Comprehensive Retirement Financial Planning Tool Una Herramienta Integral De Planificacion Financiera Para La Jubilacion," Revista Global de Negocios, The Institute for Business and Finance Research, vol. 14(1), pages 13-44.
• Oguzhan Cepni & Ahmet Faruk Aysan, 2023. "Coin Specific Sentiments Matter For The Nonfungible Tokens Spillovers: How And When?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(4), pages 637-658, November.
• Gerardo Estrada Sánchez & Federico Hernández Álvarez & Andrés Giovanni Camacho Ardila, 2023. "Detección de periodos de crisis del NASDAQ con EEMD -AE," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(1), pages 1-26, Enero - M.
• Guillermo Sierra Juárez, 2023. "Prima para la cobertura por exceso de contagios de COVID-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(2), pages 1-17, Abril - J.
• Pascal Kieren & Christian König-Kersting & Robert Schmidt & Stefan Trautmann & Franziska Heinicke, 2023. "First-Order and Higher-Order Inflation Expectations: Evidence about Households and Firms," Working Papers 2023-10, Faculty of Economics and Statistics, Universität Innsbruck.
• Joana Passinhas & Ana Pereira, 2023. "A macroprudential look into the risk-return framework of banks’ profitability," Working Papers REM 2023/0265, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Diego Víctor de Mingo-López & Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Huseyin Ozturk & Emili Tortosa-Ausina, 2023. "Persistence versus mobility of sociallyresponsible funds: intra-distribution dynamics and mobility trends," Working Papers 2023/09, Economics Department, Universitat Jaume I, Castellón (Spain).
• Brückbauer Frank & Schröder Michael, 2023. "The ZEW Financial Market Survey Panel," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 243(3-4), pages 451-469, June.
• Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi, 2023. "Uncertainty in firm valuation and a cross-sectional misvaluation measure," Annals of Finance, Springer, vol. 19(1), pages 63-93, March.
  • Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi, 2020. "Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure," LEM Papers Series 2020/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Bottazzi, Giulio & Cordoni, Francesco & Livieri, Giulia & Marmi, Stefano, 2023. "Uncertainty in firm valuation and a cross-sectional misvaluation measure," LSE Research Online Documents on Economics 118172, London School of Economics and Political Science, LSE Library.
• Mario Eboli & Bulent Ozel & Andrea Teglio & Andrea Toto, 2023. "Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks," Annals of Finance, Springer, vol. 19(2), pages 169-200, June.
• Wolfgang Schadner & Sebastian Lang, 2023. "The value of expected return persistence," Annals of Finance, Springer, vol. 19(4), pages 449-476, December.
• Paolo Massimo Buscema & Francesca Della Torre & Giulia Massini & Guido Ferilli & Pier Luigi Sacco, 2023. "Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 49-89, June.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
• Bhaskar Tripathi & Rakesh Kumar Sharma, 2023. "Modeling Bitcoin Prices using Signal Processing Methods, Bayesian Optimization, and Deep Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1919-1945, December.
• Aleksei Chernulich & John Horowitz & Jean Paul Rabanal & Olga Rud & Manizha Sharifova, 2023. "Entry and exit decisions under public and private information: an experiment," Experimental Economics, Springer;Economic Science Association, vol. 26(2), pages 339-356, April.
• Marco Di Francesco & Roberta Simonella, 2023. "A stochastic Asset Liability Management model for life insurance companies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 61-94, March.
• Nataliya Barasinska & Philipp Haenle & Anne Koban & Alexander Schmidt, 2023. "No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(3), pages 369-399, December.
• Maxim Ulrich & Lukas Zimmer & Constantin Merbecks, 2023. "Implied volatility surfaces: a comprehensive analysis using half a billion option prices," Review of Derivatives Research, Springer, vol. 26(2), pages 135-169, October.
• Zuobao Wei & Yicheng Zhu, 2023. "Does religiosity improve analyst forecast accuracy?," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 915-948, April.
• Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
• Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
• Dimitrios Koutmos & Wang Chun Wei, 2023. "Nowcasting bitcoin’s crash risk with order imbalance," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 125-154, July.
• Mu-Shu Yun & Lee-Young Cheng & Yan Zhao, 2023. "Customer concentration and target price accuracy," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 995-1028, October.
• Timár, Barnabás, 2023. "A klímavédelmi események hatása a köztudatra és a tőkepiacra. Empirikus vizsgálat Google-trends- és ETF-adatokon [The impact of climate events on public perception and capital markets. An empirical," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 713-745.
• Márkus, Martin, 2023. "A társadalmi felelősségi pontszámok és a működési kockázat kapcsolata kockázati kategóriák szerint [The relationship between the ESG score and operational risk in different risk categories]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 746-771.

2022

• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2021. "Superior Predictability of American Factors of the Won/Dollar Real Exchange Rate," Auburn Economics Working Paper Series auwp2021-03, Department of Economics, Auburn University.
  • Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2022. "Superior Predictability of American Factors of the Won/Dollar Real Exchange Rate," Auburn Economics Working Paper Series auwp2022-03, Department of Economics, Auburn University.
• Güzhan Gülay & Veclal Gündüz & Erdem Öncü & Hüseyin Karşılı, 2022. "BIST Corporate Governance Index Price Prediction With a Facebook Prophet Analysis Method," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 215-232, April.
• Çiğdem Özarı & Özge Demirkale, 2022. "Stock Market Index Prediction Using Dollar-tl and Euro-tl Exchange Rates With K-nearest Neighbor Algorithm," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 41-62, April.
• Yaqing Xiao & Hongjun Yan & Jinfan Zhang, 2022. "A Global Version of Samuelson's Dictum," American Economic Review: Insights, American Economic Association, vol. 4(2), pages 239-254, June.
• John H. Hall & Elda du Toit & Rudra P. Pradhan, 2022. "The Impact of Accounting Accruals Before, During, and After an Economic Crisis: Evidence from South Africa," The African Finance Journal, Africagrowth Institute, vol. 24(1), pages 50-64.
• Munyaradzi Chawana & Ilse Botha & Yolanda Stander, 2022. "Out-of-sample Predictability of the South African Equity Risk Premium Distribution: A Quantile Regression Approach," The African Finance Journal, Africagrowth Institute, vol. 24(2), pages 51-65.
• Alexander Golub & Jon Anda & Anil Markandya & Michael Brody & Aldin Celovic & Angele Kedaitiene, 2022. "Climate alpha and the global capital market," Working Papers 2022.19, Fondazione Eni Enrico Mattei.
  • Golub, Alexander & Anda, Jon & Markandya, Anil & Brody, Michael & Celovic, Aldin & Kedaitiene, Angele, 2022. "Climate alpha and the global capital market," FEEM Working Papers 322792, Fondazione Eni Enrico Mattei (FEEM).
• Bogdan Cosmin GOMOI, 2022. "Analysis of the Results Structures Corresponding to a Joint Stock Company," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 3(4), pages 43-51, April.
• Bogdan Cosmin GOMOI, 2022. "Structural Analysis of the Utilization-Resources, Rotation of the Current Structure and Cost-Effectiveness of a Listed Company," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 3(5), pages 19-28, May.
• Kemal Özer & Oğuz Saygın, 2022. "Katılım Bankacılığının Finansal Performans Analizi: Türkiye Uygulaması," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(1), pages 257-273.
• Erkan Ustaoğlu, 2022. "Analysis of Relations between CDS, Stock Market, and Exchange Rate: Evidence from Covid-19," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 301-315.
• Arife Özdemir Höl & Erdinç Akyıldırım & Şerife Kılıçaslan & Kader Çınar, 2022. "Baltık Kuru Yük Endeksi, Petrol, Altın, Dolar, MSCI Dünya Endeksi Arasındaki Volatilite Yayılımı," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 386-406.
• Mehmet Eraslan & Selahattin Koç, 2022. "Endeks Vadeli İşlemlerin Pay Senedi Endeksleri Üzerindeki Volatilite Etkisi: Asya-Pasifik Ülkeleri Üzerine Bir Araştırma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 567-589.
• Yakup Arı, 2022. "TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 590-607.
• Zekai Şenol & Tuba Gülcemal & Oğuz Çakan, 2022. "Kripto Paralarla Borsalar Arasındaki Volatilite Yayılımı," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(4), pages 925-943.
• Barış Aksoy, 2022. "İçeriden Öğrenenlerin Ticaretine Maruz Kalan Şirketlere Ait Hisse Senedi Getirilerinin K-En Yakın Komşu Algoritması İle Tahmin Edilmesi: ABD Borsaları Örneği," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(SI), pages 61-80.
• Nikolaos Daskalakis & Nikolaos Aggelakis & John Filos, 2022. "Applying, Updating and Comparing Bankruptcy Forecasting Models. The Case of Greece," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 21(3), pages 335-354, September.
• Surbhi Bhatia & Manish K. Singh, 2022. "Fifty years since Altman (1968): Performance of financial distress prediction models," Working Papers 12, xKDR.
• Stefano Giglio & Bryan Kelly & Dacheng Xiu, 2022. "Factor Models, Machine Learning, and Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 337-368, November.
• Alexander David & Pietro Veronesi, 2022. "A Survey of Alternative Measures of Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 439-463, November.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. ""An application of deep learning for exchange rate forecasting"," IREA Working Papers 202201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2022.
  • Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. "“An application of deep learning for exchange rate forecasting”," AQR Working Papers 202201, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2022.
• Olkhov, Victor, 2022. "Market-Based Price Autocorrelation," MPRA Paper 120288, University Library of Munich, Germany, revised 26 Feb 2024.
  • Victor Olkhov, 2022. "Market-Based Price Autocorrelation," Papers 2202.09323, arXiv.org, revised Feb 2024.
• Victor Olkhov, 2022. "Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model," Papers 2204.07506, arXiv.org, revised Mar 2024.
• Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  • Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Dec 2024.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
• Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.
  • Ricardo Crisóstomo, 2023. "Measuring Transition Risk in Investment Funds," CNMV Working Papers CNMV Working Papers no. 8, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
  • Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Volodimir Todosiichuk, 2022. "Security Management Of Ukrainian Banks," Three Seas Economic Journal, Publishing house "Baltija Publishing", vol. 3(1).
• Gabriel Bruneau & Thibaut Duprey & Ruben Hipp, 2022. "Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model," Technical Reports 122, Bank of Canada.
• Adrián Carro & Patricia Stupariu, 2022. "Uncertainty, non-linear contagion and the credit quality channel: an application to the Spanish interbank market," Working Papers 2212, Banco de España.
• Andrés Alonso & José Manuel Carbó, 2022. "Accuracy of explanations of machine learning models for credit decisions," Working Papers 2222, Banco de España.
• di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series 2671, European Central Bank.
  • Giovanni di Iasio & Spyridon Alogoskoufis & Simon Kordel & Dominika Kryczka & Giulio Nicoletti & Nicholas Vause, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Questioni di Economia e Finanza (Occasional Papers) 687, Bank of Italy, Economic Research and International Relations Area.
• Arthur Stalla-Bourdillon, 2022. "Stock Return Predictability: comparing Macro- and Micro-Approaches," Working papers 891, Banque de France.
• Nicolas Chatelais & Arthur Stalla-Bourdillon & Menzie D. Chinn, 2022. "Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section," NBER Working Papers 30305, National Bureau of Economic Research, Inc.
  • Nicolas Chatelais & Menzie Chinn & Arthur Stalla-Bourdillon, 2022. "Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section," Working papers 903, Banque de France.
• Ahmet ŞİT & H. Yusuf GÜNGÖR & Mehmet Recep ARMUTLU, 2022. "Finansal Sağlamlığın Maden Firmalarının Finansal Performansları Üzerine Etkisi Türkiye ve BRICS Ülkeleri Üzerine Uygulama," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 217-243, August.
• Kudbeddin ŞEKER & İbrahim ÇEMBERLİTAŞ, 2022. "Katılım Bankalarında Karlılığı Etkileyen İçsel ve Dışsal Faktörlerin Panel Veri Yöntemi ile Analizi Türkiye Örneği (2016-2021)," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 477-508, August.
• Yunus YILMAZ, 2022. "BIST Gıda ve İçecek Endeksi ile Döviz Kuru Arasındaki Asimetrik İlişki Doğrusal Olmayan ARDL Yaklaşımı," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 561-579, August.
• Giulio Cornelli & Sebastian Doerr & Leonardo Gambacorta & Bruno Tissot, 2022. "Big Data in Asian Central Banks," Asian Economic Policy Review, Japan Center for Economic Research, vol. 17(2), pages 255-269, July.
  • Giulio Cornelli & Sebastian Doerr & Leonardo Gambacorta & Bruno Tissot, 2022. "Big data in Asian central banks," IFC Working Papers 21, Bank for International Settlements.
• Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.
• Giulio Cornelli & Sebastian Doerr & Leonardo Gambacorta & Bruno Tissot, 2022. "Big Data in Asian Central Banks," Asian Economic Policy Review, Japan Center for Economic Research, vol. 17(2), pages 255-269, July.
  • Giulio Cornelli & Sebastian Doerr & Leonardo Gambacorta & Bruno Tissot, 2022. "Big data in Asian central banks," IFC Working Papers 21, Bank for International Settlements.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  • Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
• SAFTA (PLESA) Ioana Lavinia & SABAU (POPA) Andrada Ioana & BORLEA Sorin Nicolae, 2022. "Selecting Indicators Of Predicting Fraud Risk. Case Study For Romanian Business Environment," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 74(4), pages 75-90, December.
• Meena Sharma & Sunita, 2022. "Examining Asymmetric Volatility Dynamism of Returns in the Infrastructure Sector in India during Covid 19: - A application of GARCH Models," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, vol. 25(2), pages 126-137.
• Mba Jules Clement & Mwambetania Mwambi Sutene, 2022. "Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(2), pages 173-190, April.
• McInerney, Niall & O'Brien, Martin & Wosser, Michael & Zavalloni, Luca, 2022. "Rightsizing Bank Capital for Small, Open Economies," Research Technical Papers 4/RT/22, Central Bank of Ireland.
• Yao, Fang, 2022. "Estimating the Trend of the House Price to Income Ratio in Ireland," Research Technical Papers 8/RT/22, Central Bank of Ireland.
• W. Saart, Patrick & Kim, Namhyun & Bateman, Ian, 2021. "Understanding spatial heterogeneity in GB agricultural land-use for improved policy targeting," Cardiff Economics Working Papers E2021/8, Cardiff University, Cardiff Business School, Economics Section.
• Xu, Yongdeng, 2022. "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
  • Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
  • Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Michael Schnetzer & Thorsten Hens, 2022. "Evolutionary finance for multi-asset investors," Swiss Finance Institute Research Paper Series 22-05, Swiss Finance Institute.
• Antoine Kopp & Rebecca Westphal & Didier Sornette, 2022. "Agent-based model generating stylized facts of fixed income markets," Swiss Finance Institute Research Paper Series 22-37, Swiss Finance Institute.
• Didier Sornette & Sandro Claudio Lera & Jianhong Lin & Ke Wu, 2022. "Non-Normal Interactions Create Socio-Economic Bubbles," Swiss Finance Institute Research Paper Series 22-43, Swiss Finance Institute.
• Soros Chitsiripanich & Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2022. "Momentum Without Crashes," Swiss Finance Institute Research Paper Series 22-87, Swiss Finance Institute.
• Marc S. Paolella & Pawel Polak, 2022. "Density and Risk Prediction with Non-Gaussian COMFORT Models," Swiss Finance Institute Research Paper Series 22-88, Swiss Finance Institute.
• Gamboa-Estrada, Fredy & Romero, José Vicente, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, Elsevier, vol. 171(C), pages 174-190.
  • Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, CEPII research center, issue 171, pages 174-190.
  • Fredy Gamboa-Estrada & Jose Vicente Romero, 2021. "Common and idiosyncratic movements in Latin-American Exchange Rates," Borradores de Economia 1158, Banco de la Republica de Colombia.
• Claudia PITTERLE, 2022. "Home-Market Bias! Investment Behavior From The Persepctive Of Behavioral Economics In The German Stock Market," CrossCultural Management Journal, Fundația Română pentru Inteligența Afacerii, Editorial Department, issue 2, pages 143-148, December.
• Jorge Luis Sánchez Arévalo & Gabriela Moreira de Sousa & Rodrigo Malta Meurer, 2022. "Efeito causal entre o indicador de bolsa de valores Ibovespa e os indicadores Shangai, S&P500, Merval e Nikkei," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 41(87), pages 457-479.
• José Gabriel Astaiza Gómez & Camilo Andr�s P�rez Pacheco, 2022. "Equity Analyst Reports and Stock Prices," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 41(73), pages 43-62.
• Vicente René Encalada Encarnación, 2022. "Una propuesta de modelo con base en NIIF pymes para el mejoramiento de la gestión económica y financiera en pequenas empresas guayaquilenas," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 14(1), pages 49-74.
• Bozena Sowa, 2022. "The Impact Of The Tax Harmonization Process (On The Example Of Vat) On Budget Revenues In 25 Selected Eu Countries - A Comparative Analysis," Business Management, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 3 Year 20, pages 17-31.
• Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Okada, Katsuhiko & Riyanto, Yohanes E. & Zhu, Jiahua, 2025. "Financial forecasting in the lab and the field: Qualified professionals vs. smart students," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156r, Institute of Social and Economic Research, The University of Osaka, revised Sep 2024.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2025. "Financial forecasting in the lab and the field : Qualified professionals vs. smart students," Post-Print hal-05053019, HAL.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156, Institute of Social and Economic Research, The University of Osaka.
• Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Okada, Katsuhiko & Riyanto, Yohanes E. & Zhu, Jiahua, 2025. "Financial forecasting in the lab and the field: Qualified professionals vs. smart students," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156, Institute of Social and Economic Research, The University of Osaka.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2025. "Financial forecasting in the lab and the field : Qualified professionals vs. smart students," Post-Print hal-05053019, HAL.
  • Te Bao & Brice Corgnet & Nobuyuki Hanaki & Katsuhiko Okada & Yohanes E. Riyanto & Jiahua Zhu, 2022. "Financial Forecasting in the Lab and the Field: Qualified Professionals vs. Smart Students," ISER Discussion Paper 1156r, Institute of Social and Economic Research, The University of Osaka, revised Sep 2024.
• Tse, Tiffany Tsz Kwan & Hanaki, Nobuyuki & Mao, Bolin, 2024. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," Journal of Economic Psychology, Elsevier, vol. 102(C).
  • Tiffany Tsz Kwan TSE & Nobuyuki HANAKI & Bolin MAO, 2022. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," ISER Discussion Paper 1194r, Institute of Social and Economic Research, The University of Osaka, revised Mar 2024.
  • Tiffany Tsz Kwan Tse & Nobuyuki Hanaki & Bolin Mao, 2022. "Beware the Performance of an Algorithm Before Relying on it: Evidence from a Stock Price Forecasting Experiment," ISER Discussion Paper 1194, Institute of Social and Economic Research, The University of Osaka.
• Tse, Tiffany Tsz Kwan & Hanaki, Nobuyuki & Mao, Bolin, 2024. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," Journal of Economic Psychology, Elsevier, vol. 102(C).
  • Tiffany Tsz Kwan Tse & Nobuyuki Hanaki & Bolin Mao, 2022. "Beware the Performance of an Algorithm Before Relying on it: Evidence from a Stock Price Forecasting Experiment," ISER Discussion Paper 1194, Institute of Social and Economic Research, The University of Osaka.
  • Tiffany Tsz Kwan TSE & Nobuyuki HANAKI & Bolin MAO, 2022. "Beware the performance of an algorithm before relying on it: Evidence from a stock price forecasting experiment," ISER Discussion Paper 1194r, Institute of Social and Economic Research, The University of Osaka, revised Mar 2024.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2022. "The Horizon of Investors' Information and Corporate Investment," Working Papers hal-03890720, HAL.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2023. "The Horizon of Investors' Information and Corporate Investment," Swiss Finance Institute Research Paper Series 23-03, Swiss Finance Institute.
  • Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2022. "The Horizon of Investors' Information and Corporate Investment," HEC Research Papers Series 1462, HEC Paris.
• Giovanni di Iasio & Spyridon Alogoskoufis & Simon Kordel & Dominika Kryczka & Giulio Nicoletti & Nicholas Vause, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Questioni di Economia e Finanza (Occasional Papers) 687, Bank of Italy, Economic Research and International Relations Area.
  • di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series 2671, European Central Bank.
• Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
• Jukonis, Audrius, 2022. "Evaluating market risk from leveraged derivative exposures," Working Paper Series 2722, European Central Bank.
• Jukonis, Audrius & Letizia, Elisa & Rousová, Linda, 2022. "The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector," Working Paper Series 2756, European Central Bank.
  • Audrius Jukonis & Elisa Letizia & Linda Rousova, 2024. "The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector," IMF Working Papers 2024/026, International Monetary Fund.
• Gourdel, Régis & Sydow, Matthias, 2022. "Non-banks contagion and the uneven mitigation of climate risk," Working Paper Series 2757, European Central Bank.
• Lamia Kalai, 2022. "Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 37-51, March.
• Mariska Muller & Sun Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane & Ruschelle Sgammini, 2022. "Tracking the Performance of Listed Shares: A Comparison Between JSE Single- and Dual-listed Shares," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 145-154, November.
• Avazkhodjaev S. Shakhabiddinovich & Noor Azuddin bin Yakob & Lau Wee Yeap, 2022. "Asymmetric Effect of Renewable Energy Generation and Clean Energy on Green Economy Stock Price: ANonlinear ARDL Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 407-415.
• Ikhlaas Gurrib, 2022. "Technical Analysis, Energy Cryptos and Energy Equity Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 249-267, March.
• Rialdi Azhar & Febryan Kusuma Wisnu & Fajrin Satria Dwi Kesuma & Widya Rizki Eka Putri & Rian Andri Prasetya, 2022. "State-space Implementation in Forecasting Carbon and Gas Prices in Commodity Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 280-286, May.
• Bharat Kumar Meher & Iqbal Thonse Hawaldar & Santosh Kumar & Abhishek Kumar Gupta, 2022. "Modelling Market Indices, Commodity Market Prices and Stock Prices of Energy Sector using VAR with Variance Decomposition Model," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 122-130, July.
• Salokhiddin Avazkhodjaev & Jaloliddin Usmonov & M ria Bohdalov & Wee-Yeap Lau, 2022. "The Causal Nexus between Renewable Energy, CO2 Emissions, and Economic Growth: New Evidence from CIS Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 248-260, November.
• Nagula, Pavan Kumar & Alexakis, Christos, 2022. "A new hybrid machine learning model for predicting the bitcoin (BTC-USD) price," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
• Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
• Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
• Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022. "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  • Christian Gourieroux & Alain Monfort & Jean-Paul Renne, 2022. "Required Capital for Long-Run Risks," Post-Print hal-03865173, HAL.
• Uquillas, Adriana & Tonato, Ronny, 2022. "Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 299-320.
• Díaz, Antonio & Esparcia, Carlos & López, Raquel, 2022. "The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 39-60.
• Qu, Hui & Zhang, Yi, 2022. "Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies," Economic Modelling, Elsevier, vol. 106(C).
• Colak, Gonul & Fu, Mengchuan & Hasan, Iftekhar, 2022. "On modeling IPO failure risk," Economic Modelling, Elsevier, vol. 109(C).
• Yang, Yanlin & Hu, Xuemei & Jiang, Huifeng, 2022. "Group penalized logistic regressions predict up and down trends for stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
• Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
• Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
• Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
• Salisu, Afees A. & Ogbonna, Ahamuefula E. & Lasisi, Lukman & Olaniran, Abeeb, 2022. "Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
• Shi, Ruoshi & Zhao, Yanlong & Bao, Ying & Peng, Cheng, 2022. "Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
• Yi, Biao & Guo, Shuxin, 2022. "Common analyst links and predictable returns: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
• Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
• Beckmann, Joscha & Boonman, Tjeerd M., 2022. "Expectations, disagreement and exchange rate pressure," Economics Letters, Elsevier, vol. 212(C).
• Saart, Patrick W. & Xia, Yingcun, 2022. "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, vol. 229(1), pages 127-151.
• Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
• Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  • Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
• Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
• Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
• Zhang, Han & Guo, Bin & Liu, Lanbiao, 2022. "The time-varying bond risk premia in China," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 51-76.
• Cavalcante-Filho, Elias & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2022. "US risk premia under emerging markets constraints," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 217-230.
  • Elias Cavalcante-Filho, Fernando Chague, Rodrigo De Losso, Bruno Giovannetti, 2019. "US Risk Premia under Emerging Markets Constraints," Working Papers, Department of Economics 2019_28, University of São Paulo (FEA-USP).
• Zhao, Albert Bo & Cheng, Tingting, 2022. "Stock return prediction: Stacking a variety of models," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 288-317.
• Huisman, Ronald & Stet, Cristian, 2022. "The dependence of quantile power prices on supply from renewables," Energy Economics, Elsevier, vol. 105(C).
• Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
• Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
• Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
• Umar, Zaghum & Aharon, David Y. & Esparcia, Carlos & AlWahedi, Wafa, 2022. "Spillovers between sovereign yield curve components and oil price shocks," Energy Economics, Elsevier, vol. 109(C).
• Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
• Guo, Xiaozhu & Huang, Yisu & Liang, Chao & Umar, Muhammad, 2022. "Forecasting volatility of EUA futures: New evidence," Energy Economics, Elsevier, vol. 110(C).
• Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J.J., 2022. "The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision," Energy Economics, Elsevier, vol. 112(C).
  • Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J. J., 2022. "The effectiveness of carbon pricing : The role of diversification in a firm's investment decision?," Other publications TiSEM abf6597c-1ba5-4816-a46e-8, Tilburg University, School of Economics and Management.
• Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
• Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
• Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
• Davis, E. Philip & Karim, Dilruba & Noel, Dennison, 2022. "The effects of macroprudential policy on banks' profitability," International Review of Financial Analysis, Elsevier, vol. 80(C).
• Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
• Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
• Vidal-Tomás, David, 2022. "Which cryptocurrency data sources should scholars use?," International Review of Financial Analysis, Elsevier, vol. 81(C).
• Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Zakamulin, Valeriy & Giner, Javier, 2022. "Time series momentum in the US stock market: Empirical evidence and theoretical analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Ballinari, Daniele & Audrino, Francesco & Sigrist, Fabio, 2022. "When does attention matter? The effect of investor attention on stock market volatility around news releases," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Yao, Yuan & Zhao, Yang & Li, Yan, 2022. "A volatility model based on adaptive expectations: An improvement on the rational expectations model," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2022. "Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Wang, Yizhi, 2022. "Volatility spillovers across NFTs news attention and financial markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
• Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
• Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Akinseye, Ademola B. & Ogunbowale, Gideon O., 2022. "Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments," Finance Research Letters, Elsevier, vol. 46(PA).
• Abdallah, Abed Al-Nasser & Abdallah, Wissam & Saad, Mohsen, 2022. "The impact of national culture on the synchronicity of cross-listed firms," Finance Research Letters, Elsevier, vol. 46(PA).
• Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022. "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, vol. 46(PA).
• Taussig, Roi D., 2022. "Market prices, analysts' predictions, and Covid19," Finance Research Letters, Elsevier, vol. 46(PA).
• Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
  • Lyócsa, Štefan & Baumöhl, Eduard & Vŷrost, Tomáš, 2021. "YOLO trading: Riding with the herd during the GameStop episode," EconStor Preprints 230679, ZBW - Leibniz Information Centre for Economics.
• Kim, Hyuksoo & Kim, Saejoon, 2022. "Managing downside risk of low-risk anomaly portfolios," Finance Research Letters, Elsevier, vol. 46(PB).
• Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
• Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
• Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022. "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, vol. 47(PA).
• Apergis, Nicholas, 2022. "COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling," Finance Research Letters, Elsevier, vol. 47(PA).
• Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
• Nonejad, Nima, 2022. "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, vol. 47(PB).
• Torri, Gabriele & Radi, Davide & Dvořáčková, Hana, 2022. "Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach," Finance Research Letters, Elsevier, vol. 47(PB).
• Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "How do financial and commodity markets volatility react to real economic activity?," Finance Research Letters, Elsevier, vol. 47(PB).
• Akron, Sagi & Taussig, Roi D., 2022. "Income statement leverage and expected stock returns," Finance Research Letters, Elsevier, vol. 47(PB).
• Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?," Finance Research Letters, Elsevier, vol. 49(C).
• Barua, Ronil & Sharma, Anil K., 2022. "Dynamic Black Litterman portfolios with views derived via CNN-BiLSTM predictions," Finance Research Letters, Elsevier, vol. 49(C).
• Lúcio, Francisco & Caiado, Jorge, 2022. "COVID-19 and Stock Market Volatility: A Clustering Approach for S&P 500 Industry Indices," Finance Research Letters, Elsevier, vol. 49(C).
• Liu, Guangqiang & Liu, Tianbao, 2022. "Does individual investors’ dividend tax influence analyst forecast? Evidence from a quasi-natural experiment in China," Finance Research Letters, Elsevier, vol. 50(C).
• Hong, Weiting, 2022. "Trade momentum for alpha," Finance Research Letters, Elsevier, vol. 50(C).
• Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2022. "Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?," Journal of Financial Markets, Elsevier, vol. 57(C).
• Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
• Jurkatis, Simon, 2022. "Inferring trade directions in fast markets," Journal of Financial Markets, Elsevier, vol. 58(C).
  • Jurkatis, Simon, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
• Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022. "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, vol. 59(PA).
• Truong, Chi & Sheen, Jeffrey & Trück, Stefan & Villafuerte, James, 2022. "Early warning systems using dynamic factor models: An application to Asian economies," Journal of Financial Stability, Elsevier, vol. 58(C).
• Boubakri, Narjess & Bouslimi, Lobna & Zhong, Rui, 2022. "Political uncertainty and analysts’ forecasts: International evidence," Journal of Financial Stability, Elsevier, vol. 59(C).
• Salisu, Afees A. & Ogbonna, Ahamuefula E., 2022. "The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect," Global Finance Journal, Elsevier, vol. 54(C).
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
• Pitera, Marcin & Schmidt, Thorsten, 2022. "Estimating and backtesting risk under heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 104(C), pages 1-14.
• Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
• Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
• Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, CEPII research center, issue 171, pages 174-190.
  • Gamboa-Estrada, Fredy & Romero, José Vicente, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, Elsevier, vol. 171(C), pages 174-190.
  • Fredy Gamboa-Estrada & Jose Vicente Romero, 2021. "Common and idiosyncratic movements in Latin-American Exchange Rates," Borradores de Economia 1158, Banco de la Republica de Colombia.
• Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
• Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
• He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
• Ball, Ray & Nikolaev, Valeri V., 2022. "On earnings and cash flows as predictors of future cash flows," Journal of Accounting and Economics, Elsevier, vol. 73(1).
• Hsu, Charles & Wang, Rencheng & Whipple, Benjamin C., 2022. "Non-GAAP earnings and stock price crash risk," Journal of Accounting and Economics, Elsevier, vol. 73(2).
• Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
• Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2022. "Momentum-Managed Equity Factors," Journal of Banking & Finance, Elsevier, vol. 137(C).
• Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
• Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
• Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
  • Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
  • Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
• Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
• Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
• Klein, Tony, 2022. "Agree to disagree? Predictions of U.S. nonfarm payroll changes between 2008 and 2020 and the impact of the COVID19 labor shock," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 264-286.
• Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
• Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
• Back, Kerry & Crotty, Kevin & Kazempour, Seyed Mohammad, 2022. "Validity, tightness, and forecasting power of risk premium bounds," Journal of Financial Economics, Elsevier, vol. 144(3), pages 732-760.
• Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
• Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022. "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 64-82.
• Huang, Shiyang & Lee, Charles M.C. & Song, Yang & Xiang, Hong, 2022. "A frog in every pan: Information discreteness and the lead-lag returns puzzle," Journal of Financial Economics, Elsevier, vol. 145(2), pages 83-102.
• Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
• Karnaukh, Nina & Vokata, Petra, 2022. "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, vol. 146(1), pages 55-70.
• Mamatzakis, Emmanuel, 2022. "An international study on the impact of corruption on analysts’ forecasts," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 48(C).
• Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
  • Degiannakis, Stavros & Filis, George, 2019. "Oil price volatility forecasts: What do investors need to know?," MPRA Paper 94445, University Library of Munich, Germany.
• Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
• Haarstad, Aleksander H. & Lavrutich, Maria & Strypet, Kristian & Strøm, Eivind, 2022. "Multi-commodity price risk hedging in the Atlantic salmon farming industry," Journal of Commodity Markets, Elsevier, vol. 25(C).
• Westgaard, Sjur & Frydenberg, Stein & Mohanty, Sunil K., 2022. "Fourteen large commodity trading disasters: What happened and what can we learn?," Journal of Commodity Markets, Elsevier, vol. 27(C).
• Plakandaras, Vasilios & Ji, Qiang, 2022. "Intrinsic decompositions in gold forecasting," Journal of Commodity Markets, Elsevier, vol. 28(C).
• Liu, Guangqiang & Guo, Xiaozhu, 2022. "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, vol. 75(C).
• Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
• Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
• Zhang, Lixia & Luo, Qin & Guo, Xiaozhu & Umar, Muhammad, 2022. "Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices," Resources Policy, Elsevier, vol. 77(C).
• Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
• Kumar, Pawan & Singh, Vipul Kumar, 2022. "Systemic spillover dynamics of crude oil with Indian Financial indicators in post WPI revision and COVID era," Resources Policy, Elsevier, vol. 77(C).
• Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
• Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
• Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022. "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, vol. 79(C).
• Liu, Guangqiang & Zeng, Qing & Lei, Juan, 2022. "Dynamic risks from climate policy uncertainty: A case study for the natural gas market," Resources Policy, Elsevier, vol. 79(C).
• Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
• Xu, Yongan & Li, Ming & Yan, Wen & Bai, Jiancheng, 2022. "Predictability of the renewable energy market returns: The informational gains from the climate policy uncertainty," Resources Policy, Elsevier, vol. 79(C).
• Vega Baquero, Juan David & Santolino, Miguel, 2022. "Too big to fail? An analysis of the Colombian banking system through compositional data," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
• Jurdi, Doureige J., 2022. "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
• Hiroki, Takashi & Iwatsubo, Kentaro & Watkins, Clinton, 2022. "Does firm-level productivity predict stock returns?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
• Umar, Zaghum & Yousaf, Imran & Gubareva, Mariya & Vo, Xuan Vinh, 2022. "Spillover and risk transmission between the term structure of the US interest rates and Islamic equities," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
• Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022. "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
• Yuan, Ying & Fan, Xiaoqian & Li, Yiou, 2022. "Do local and non-local retail investor attention impact stock returns differently?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
• Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  • Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Predicting tail events in a RIA-EVT-Copula framework," Papers 2004.03190, arXiv.org, revised Apr 2020.
• Nguyen, Tien-Trung & Wu, Yang-Che & Ke, Mei-Chu & Liao, Tung Liang, 2022. "Can direct government intervention save the stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 271-284.
• Marthinsen, John E. & Gordon, Steven R., 2022. "The price and cost of bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 280-288.
• Mihai, Marius M., 2022. "The commercial bank leverage factor in U.S. asset prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 156-171.
• Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
• Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
  • Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
• Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
• Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
• López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
• Tan, Yuanyue & Wang, Zhiqiang & Xiong, Haifang & Liu, Yue, 2022. "Fundamental momentum and enhanced fundamental momentum: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 680-693.
• Wu, Chunying & Xiong, Xiong & Gao, Ya, 2022. "The role of different information sources in information spread: Evidence from three media channels in China," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 327-341.
• Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022. "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 384-401.
• Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
• d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
• Yuan, Kunpeng & Chi, Guotai & Zhou, Ying & Yin, Hailei, 2022. "A novel two-stage hybrid default prediction model with k-means clustering and support vector domain description," Research in International Business and Finance, Elsevier, vol. 59(C).
• Dharani, Munusamy & Hassan, M. Kabir & Rabbani, Mustafa Raza & Huq, Tahsin, 2022. "Does the Covid-19 pandemic affect faith-based investments? Evidence from global sectoral indices," Research in International Business and Finance, Elsevier, vol. 59(C).
• Kristóf, Tamás & Virág, Miklós, 2022. "EU-27 bank failure prediction with C5.0 decision trees and deep learning neural networks," Research in International Business and Finance, Elsevier, vol. 61(C).
• Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).
• Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022. "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, vol. 62(C).
• Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
• Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
• Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022. "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, vol. 62(C).
• Wang, Ping & Han, Wei & Huang, Chengcheng & Duong, Duy, 2022. "Forecasting realised volatility from search volume and overnight sentiment: Evidence from China," Research in International Business and Finance, Elsevier, vol. 62(C).
• Carvajal-Patiño, Daniel & Ramos-Pollán, Raul, 2022. "Synthetic data generation with deep generative models to enhance predictive tasks in trading strategies," Research in International Business and Finance, Elsevier, vol. 62(C).
• Bai, Chenjiang & Duan, Yuejiao & Liu, Congya & Qiu, Leiju, 2022. "International taxation sentiment and COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 63(C).
• Foster, Joshua & Haley, M. Ryan, 2022. "Charity auctions as assets: Theory and simulations of fundraising risk management in mean-variance space," Socio-Economic Planning Sciences, Elsevier, vol. 83(C).
• Yu, Baojun & Li, Changming & Mirza, Nawazish & Umar, Muhammad, 2022. "Forecasting credit ratings of decarbonized firms: Comparative assessment of machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
• Yan, Lei & Mirza, Nawazish & Umar, Muhammad, 2022. "The cryptocurrency uncertainties and investment transitions: Evidence from high and low carbon energy funds in China," Technological Forecasting and Social Change, Elsevier, vol. 175(C).
• Liang, Chao & Umar, Muhammad & Ma, Feng & Huynh, Toan L.D., 2022. "Climate policy uncertainty and world renewable energy index volatility forecasting," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
• Edson Z. Monte & Lucas B. Defanti, 2022. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 65(1), pages 52-73.
• Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022. "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers 32331, University of Essex, Essex Business School.
  • Fabio Calonaci & George Kapetanios & Simon Price, 2022. "Stock Returns Predictability with Unstable Predictors," CAMA Working Papers 2022-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Huy Viet Hoang & Son Tung Ha & Manh Linh Tran & Thi Thu Trang Nguyen, 2022. "Is auditor tolerant of earnings management in socially responsible firms? Evidence from China," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 30(5), pages 669-690, October.
• Huy Viet Hoang & Son Tung Ha & Manh Linh Tran & Thi Thu Trang Nguyen, 2022. "Is auditor tolerant of earnings management in socially responsible firms? Evidence from China," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 30(5), pages 669-690, October.
• Ender Baykut & Ercan Özen, 2022. "An Assessment of the Borsa Istanbul Insurance Index Return Structure: The Markov Regime Switching Model," Contemporary Studies in Economic and Financial Analysis, in: Managing Risk and Decision Making in Times of Economic Distress, Part B, volume 108, pages 203-214, Emerald Group Publishing Limited.
• Serdar Simonyan & Sema Bayraktar, 2022. "Asymmetric dynamics in sovereign credit default swaps pricing: evidence from emerging countries," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 18(12), pages 5607-5629, March.
• Sumaira Chamadia & Mobeen Ur Rehman & Muhammad Kashif, 2022. "Do average higher moments predict aggregate returns in emerging stock markets?," Journal of Asian Business and Economic Studies, Emerald Group Publishing Limited, vol. 29(2), pages 120-145, January.
• Hakan Yildirim & Saffet Akdag & Andrew Adewale Alola, 2022. "Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 27(54), pages 247-261, May.
• Clio Ciaschini & Maria Cristina Recchioni, 2022. "A market sentiment indicator, behaviourally grounded, for the analysis and forecast of volatility and bubbles," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 16(1), pages 17-38, November.
• Gil Cohen, 2022. "Artificial Intelligence in Trading the Financial Markets," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 101-110.
• Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
  • Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
• Fabio Calonaci & George Kapetanios & Simon Price, 2022. "Stock Returns Predictability with Unstable Predictors," CAMA Working Papers 2022-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022. "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers 32331, University of Essex, Essex Business School.
• Golub, Alexander & Anda, Jon & Markandya, Anil & Brody, Michael & Celovic, Aldin & Kedaitiene, Angele, 2022. "Climate alpha and the global capital market," FEEM Working Papers 322792, Fondazione Eni Enrico Mattei (FEEM).
  • Alexander Golub & Jon Anda & Anil Markandya & Michael Brody & Aldin Celovic & Angele Kedaitiene, 2022. "Climate alpha and the global capital market," Working Papers 2022.19, Fondazione Eni Enrico Mattei.
• Daniel Borup & Philippe Goulet Coulombe & Erik Christian Montes Schütte & David E. Rapach & Sander Schwenk-Nebbe, 2022. "The Anatomy of Out-of-Sample Forecasting Accuracy," FRB Atlanta Working Paper 2022-16, Federal Reserve Bank of Atlanta.
  • Daniel Borup & Philippe Goulet Coulombe & Erik Christian Montes Schütte & David E. Rapach & Sander Schwenk-Nebbe, 2024. "The Anatomy of Out-of-Sample Forecasting Accuracy," FRB Atlanta Working Paper 2022-16b, Federal Reserve Bank of Atlanta.
• Filippo Ferroni, 2022. "How Interconnected Are Cryptocurrencies and What Does This Mean for Risk Management," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue 466, pages 1-5, March.
• Elena V. Ryabova & Natalia V. Feruleva & Olga A. Zamotaeva, 2022. "Assessing the Investment Attractiveness of Oil Field Development Projects under the Tax Maneuver: The Evidence from West Siberia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 86-101, June.
• Andrey V. Zubarev & Kirill D. Shilov, 2022. "Stress Test of the Russian Banking System: The Case of an Increase in Overdue Debt [Стресс-Тест Российской Банковской Системы: Случай Роста Просроченной Задолженности]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 52-62, December.
• Andrey V. Zubarev & Kirill D. Shilov, 2022. "Стресс-Тест Российской Банковской Системы: Случай Роста Просроченной Задолженности," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 12, pages 52-62, December.
• Sisa Shiba & Juncal Cunado & Rangan Gupta, 2022. "Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases," JRFM, MDPI, vol. 15(1), pages 1-18, January.
  • Sisa Shiba & Juncal Cunado & Rangan Gupta, 2021. "Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases," Working Papers 202181, University of Pretoria, Department of Economics.
• Dean Fantazzini, 2022. "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, vol. 15(7), pages 1-34, July.
  • Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
• Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022. "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  • Christian Gourieroux & Alain Monfort & Jean-Paul Renne, 2022. "Required Capital for Long-Run Risks," Post-Print hal-03865173, HAL.
• Mohamad Hassan Shahrour & Mostafa Dekmak, 2023. "Intelligent stock prediction: A neural network approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-14, March.
  • Mohamad Hassan Shahrour & Mostafa Dekmak, 2022. "Intelligent Stock Prediction: A Neural Network Approach," Post-Print hal-03884171, HAL.
• Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Digital Finance, Springer, vol. 4(1), pages 17-61, March.
  • Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Post-Print hal-04021587, HAL.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers halshs-02893291, HAL.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 2020, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 20-27, Chapman University, Economic Science Institute.
• Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2022. "The Horizon of Investors' Information and Corporate Investment," HEC Research Papers Series 1462, HEC Paris.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2022. "The Horizon of Investors' Information and Corporate Investment," Working Papers hal-03890720, HAL.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2023. "The Horizon of Investors' Information and Corporate Investment," Swiss Finance Institute Research Paper Series 23-03, Swiss Finance Institute.
• Hans Lööf & Maziar Sahamkhadam & Andreas Stephan, 2023. "Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry," Journal of Forest Economics, now publishers, vol. 38(2), pages 133-157, June.
  • Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Incorporating ESG into optimal stock portfolios for the global timber & forestry industry," Working Paper Series in Economics and Institutions of Innovation 490, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
• Kamil Kladívko & Pär Österholm, 2024. "Analysts versus the random walk in financial forecasting: evidence from the Czech National Bank’s Financial Market Inflation Expectations survey," Applied Economics, Taylor & Francis Journals, vol. 56(17), pages 2077-2088, April.
  • Kladívko, Kamil & Österholm, Pär, 2022. "Analysts versus the Random Walk in Financial Forecasting: Evidence from the Czech National Bank’s Financial Market Inflation Expectations Survey," Working Papers 2022:14, Örebro University, School of Business.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
  • Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
• Alexander Sorokin, 2022. "Modeling of Optimal Credit Limits in Microfinance Organizations," HSE Economic Journal, National Research University Higher School of Economics, vol. 26(2), pages 285-306.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2022. "Realized Volatility: Survey with Application to Nikkei 225 Stock Index," Economic Review, Hitotsubashi University, vol. 73(3), pages 254-280, July.
• Sophia L. Zhou, 2022. "Real Estate Trend Prediction Using Linear Regression And Artificial Neural Network Techniques," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 16(1), pages 1-16.
• Terrance Jalbert & Jonathan D. Stewart, 2022. "A Comprehensive Retirement Financial Planning Tool," International Journal of Management and Marketing Research, The Institute for Business and Finance Research, vol. 15(1), pages 47-76.
• Montserrat Reyna Miranda & Ricardo Massa Roldán & Vicente Gómez Salcido, 2022. "Neuro-wavelet Model for price prediction in high-frequency data in the Mexican Stock market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-23, Enero - M.
• Nicolás Magner Pulgar & Esteban José Antonio Terán Sánchez & Vicente Alfonso Guzmán Muñoz, 2022. "Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(3), pages 1-22, Julio - S.
• Josh Davis & Alan M. Taylor, 2022. "The Leverage Factor: Credit Cycles and Asset Returns," Management Science, INFORMS, vol. 68(10), pages 7350-7361, October.
  • Josh Davis & Alan M. Taylor, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," NBER Working Papers 26435, National Bureau of Economic Research, Inc.
  • Taylor, Alan M. & Davis, Josh, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," CEPR Discussion Papers 14115, C.E.P.R. Discussion Papers.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers halshs-02893291, HAL.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 2020, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 20-27, Chapman University, Economic Science Institute.
• Tamerlan Mashadihasanli, 2022. "Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(2), pages 439-454, July.
• Zongwu Cai & Pixiong Chen, 2022. "New Online Investor Sentiment and Asset Returns," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202216, University of Kansas, Department of Economics, revised Nov 2022.
• William A. Barnett & Kun He & Jingtong He, 2022. "Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation," JRFM, MDPI, vol. 15(10), pages 1-17, October.
  • William Barnett & Kun He & Jingtong He, 2022. "Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202217, University of Kansas, Department of Economics.
• Zongwu Cai & Ted Juhl, 2020. "The Distribution Of Rolling Regression Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202218, University of Kansas, Department of Economics, revised Dec 2022.
• Muhammad Rehan & Jahanzaib Alvi & Süleyman Serdar Karaca, 2022. "Short Term Stress of Covid-19 on World Major Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 527-568, September.
• Matthew Smith & Francisco Alvarez, 2022. "Predicting Firm-Level Bankruptcy in the Spanish Economy Using Extreme Gradient Boosting," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 263-295, January.
• Ryuichi Yamamoto, 2022. "Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 325-356, January.
• Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet, 2022. "Does the Real Business Cycle Help Forecast the Financial Cycle?," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1529-1546, December.
  • Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet, 2021. "Does the Real Business Cycle Help Forecast the Financial Cycle?," Post-Print hal-04478764, HAL.
• Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.
• Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.
• Pavan Kumar Nagula & Christos Alexakis, 2022. "A Novel Machine Learning Approach for Predicting the NIFTY50 Index in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 28(3), pages 155-170, November.
• Kexing Ding & Bikki Jaggi, 2022. "CEO career concerns and the precision of management earnings forecasts," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 69-100, January.
• Bruno Deschamps & Tianlun Fei & Ying Jiang & Xiaoquan Liu, 2022. "Procyclical volatility in Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1117-1144, April.
• Byung Yeon Kim & Heejoon Han, 2022. "Multi-Step-Ahead Forecasting of the CBOE Volatility Index in a Data-Rich Environment: Application of Random Forest with Boruta Algorithm," Korean Economic Review, Korean Economic Association, vol. 38, pages 541-569.
• Andreas Marcus Gohs, 2022. "The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distributi," MAGKS Papers on Economics 202246, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• John W. Barry & Murillo Campello & John Graham & Yueran Ma, 2022. "Corporate Flexibility in a Time of Crisis," NBER Working Papers 29746, National Bureau of Economic Research, Inc.
• William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2022. "Evidence on Retrieved Context: How History Matters," NBER Working Papers 29849, National Bureau of Economic Research, Inc.
• William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2022. "Cohort Effects on Expected Co-Movement," NBER Working Papers 29949, National Bureau of Economic Research, Inc.
• Nicolas Chatelais & Menzie Chinn & Arthur Stalla-Bourdillon, 2022. "Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section," Working papers 903, Banque de France.
  • Nicolas Chatelais & Arthur Stalla-Bourdillon & Menzie D. Chinn, 2022. "Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section," NBER Working Papers 30305, National Bureau of Economic Research, Inc.
• Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022. "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers 30366, National Bureau of Economic Research, Inc.
• Arpit Gupta & Vrinda Mittal & Stijn Van Nieuwerburgh, 2022. "Work From Home and the Office Real Estate Apocalypse," NBER Working Papers 30526, National Bureau of Economic Research, Inc.
• Harrison Hong & Edward P. Shore, 2022. "Corporate Social Responsibility," NBER Working Papers 30771, National Bureau of Economic Research, Inc.
• Fedorova, E. & Pyltsin, I. & Kovalchuk, Yu. & Drogovoz, P., 2022. "News and social networks of Russian companies: Degree of influence on the securities market," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 32-52.
• Zelenkov, Yu. & Solntsev, I., 2022. "Predicting the value of professional sport clubs. A study of European soccer, 2005-2018," Journal of the New Economic Association, New Economic Association, vol. 56(4), pages 28-46.
• Gunter Löffler, 2022. "Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark," Critical Finance Review, now publishers, vol. 11(1), pages 65-77, February.
• Jake Gorman & Farida Akhtar & Robert B. Durand & John Gould, 2022. "It Could Be Overreaction, Not Lottery Seeking, That Is Behind Bali, Cakici and Whitelaw’s Max Effect," Critical Finance Review, now publishers, vol. 11(3-4), pages 647-675, August.
• Petar Rangelov, 2022. "Application of Simulation-based Approach for Determining the Value of Companies Operating in an Environment of Uncertainty," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 111-131, March.
• Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2022. "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]," Journal of Financial Econometrics, Oxford University Press, vol. 20(1), pages 160-186.
  • Qiu, Yue & Xie, Tian & Yu, Jun & Zhou, Qiankun, 2019. "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks," Economics and Statistics Working Papers 7-2019, Singapore Management University, School of Economics.
• Mathias S Kruttli, 2022. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors [Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory]," Journal of Financial Econometrics, Oxford University Press, vol. 20(3), pages 539-567.
• Yushuang Jiang & Emese Lazar, 2022. "Forecasting VIX Using Filtered Historical Simulation [A GARCH Option Pricing Model with Filtered Historical Simulation]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 655-680.
• Yannick Hoga, 2022. "Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 1007-1037.
• Lynda Khalaf & Arturo Leccadito & Giovanni Urga, 2022. "Multilevel and Tail Risk Management [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 839-874.
• Mikkel Bennedsen & Asger Lunde & Mikko S Pakkanen, 2022. "Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [Multifactor Approximation of Rough Volatility Models]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 961-1006.
• Thomas Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2022. "Pricing Implications of Covariances and Spreads in Currency Markets [Optimal and naive diversification in currency markets]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 336-388.
• John Bizjak & Swaminathan Kalpathy & Zhichuan Frank Li & Brian Young, 2022. "The Choice of Peers for Relative Performance Evaluation in Executive Compensation [Peer choice in CEO compensation]," Review of Finance, European Finance Association, vol. 26(5), pages 1217-1239.
• Pedro Barroso & Konark Saxena, 2022. "Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1222-1278.
• Andrea Buraschi & Ilaria Piatti & Paul Whelan, 2022. "Subjective Bond Returns and Belief Aggregation," The Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3710-3741.
• Mădălina Sperlea (Popescu Bordeni), 2022. "The Genesis of Economic and Financial Criminality," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 440-449, Decembrie.
• Guellil, Mohammed Seghir & Sari-Hassoun, Salah Eddine & Chica-Olmo, Jorge & Saraç, Mehmet, 2022. "What are the main factors driving behind the MENA countries current account deficit? A panel logit approach analysis [¿Cuáles son los principales factores que impulsan el déficit de cuenta corrient," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 33(1), pages 134-153, June.
• Walid Mansour & Hechem Ajmi & Karima Saci, 2022. "Regulatory policies in the global Islamic banking sector in the outbreak of COVID-19 pandemic," Journal of Banking Regulation, Palgrave Macmillan, vol. 23(3), pages 265-287, September.
• Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
• Tomasz Korol & Anestis K. Fotiadis, 2022. "Implementing artificial intelligence in forecasting the risk of personal bankruptcies in Poland and Taiwan," Oeconomia Copernicana, Institute of Economic Research, vol. 13(2), pages 407-438, June.
• Beata Gavurova & Sylvia Jencova & Radovan Bacik & Marta Miskufova & Stanislav Letkovsky, 2022. "Artificial intelligence in predicting the bankruptcy of non-financial corporations," Oeconomia Copernicana, Institute of Economic Research, vol. 13(4), pages 1215-1251, December.
• Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
• Pablo Pincheira Brown & Nicolás Hardy, 2024. "Correlation‐based tests of predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1835-1858, September.
  • Pincheira, Pablo & Hardy, Nicolas, 2022. "Correlation Based Tests of Predictability," MPRA Paper 112014, University Library of Munich, Germany.
• Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
• Daniel Tut, 2022. "Bitcoin: Future or Fad?," Springer Books, in: Thomas Walker & Frederick Davis & Tyler Schwartz (ed.), Big Data in Finance, pages 133-157, Springer.
  • Tut, Daniel, 2022. "Bitcoin: Future or Fad?," MPRA Paper 112376, University Library of Munich, Germany.
• Xu, Jack, 2022. "Fundamental Credit Analysis through Dynamical Modeling and Simulation of the Balance Sheet: Applications to Chinese Real Estate Developers," MPRA Paper 112699, University Library of Munich, Germany.
• Mandal, Nivedita & Das, Rituparna, 2022. "Price Discovery Efficiency and Resilience of Financial Futures - A Case Study of Indian Banking Sector," MPRA Paper 112844, University Library of Munich, Germany.
• Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Dec 2024.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
• Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
• Dean Fantazzini, 2022. "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, vol. 15(7), pages 1-34, July.
  • Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
• Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
• Yang, Bill Huajian, 2022. "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper 114188, University Library of Munich, Germany, revised 18 Jul 2022.
• Lee, David, 2022. "Generic Price Model for Commodity Derivatives," MPRA Paper 114283, University Library of Munich, Germany.
• Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
  • El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022. "On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies," MPRA Paper 114556, University Library of Munich, Germany.
• Podshivalov, Georgii Gordon, 2022. "Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator," MPRA Paper 115002, University Library of Munich, Germany, revised 16 Oct 2022.
• Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
• Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Dec 2024.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
• Yang, Zixiu & Fantazzini, Dean, 2022. "Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading," MPRA Paper 115508, University Library of Munich, Germany.
• Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  • Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
• M N, Nikhil & Chakraborty, Suman & B M, Lithin & Ledwani, Sanket, 2022. "Modeling Indian Bank Nifty volatility using univariate GARCH models," MPRA Paper 116824, University Library of Munich, Germany, revised 06 Feb 2023.
• B M, Lithin & Chakraborty, Suman & Iyer, Vishwanathan & M N, Nikhil & Ledwani, Sanket, 2022. "Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 116866, University Library of Munich, Germany, revised 07 Mar 2023.
• B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
• Datta, Susanta & Hatekar, Neeraj, 2022. "Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market," MPRA Paper 117285, University Library of Munich, Germany.
• Pitterle, Claudia, 2022. "Home- Market- Bias! Investment behavior from the perspective of behavioral economics in the Germany stock market," MPRA Paper 117698, University Library of Munich, Germany.
• Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
  • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
• Brahmana, Rayenda Khresna, 2022. "Do Machine Learning Approaches Have the Same Accuracy in Forecasting Cryptocurrencies Volatilities?," MPRA Paper 119598, University Library of Munich, Germany.
• Victor Olkhov, 2022. "Market-Based Price Autocorrelation," Papers 2202.09323, arXiv.org, revised Feb 2024.
  • Olkhov, Victor, 2022. "Market-Based Price Autocorrelation," MPRA Paper 120288, University Library of Munich, Germany, revised 26 Feb 2024.
• Obregon, Carlos, 2022. "Technology vs Nationalism: The Global Clash," MPRA Paper 122460, University Library of Munich, Germany.
• Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and state-level stock market realized volatility," Journal of Financial Markets, Elsevier, vol. 66(C).
  • Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Climate Risks and State-Level Stock-Market Realized Volatility," Working Papers 202246, University of Pretoria, Department of Economics.
• Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Business applications and state‐level stock market realized volatility: A forecasting experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 456-472, March.
  • Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers 202247, University of Pretoria, Department of Economics.
• Boris Mišun & Karin Mašková & Marek Jindra, 2022. "Case study - specifics of transfer pricing in the context of enterprise valuation [Případová studie - specifika nastavení převodních cen v kontextu ocenění závodu]," Oceňování, Prague University of Economics and Business, vol. 15(4), pages 33-43.
• Carla Marques, 2022. "Modelling the financial situation of Portuguese firms using micro-data: a simulation for the COVID-19 pandemic," Working Papers o202203, Banco de Portugal, Economics and Research Department.
• Savvakis C. Savvides, 2022. "Risk through the Looking Glass," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 23(4), pages 71-98, October.
  • Savvakis C. Savvides, 2022. "Risk Through the Looking-Glass," Development Discussion Papers 2022-06, JDI Executive Programs.
• Maria Lycheva & Alexey Mironenkov & Alexey Kurbatskii & Dean Fantazzini, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
  • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
• Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2024. "The profitability of lead–lag arbitrage at high frequency," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1002-1021.
  • Cédric Poutré & Georges Dionne & Gabriel Yergeau, 2022. "The Profitability of Lead-Lag Arbitrage at High-Frequency," Working Papers 22-5, HEC Montreal, Canada Research Chair in Risk Management.
• Victoria Cherkasova & Irina Nenuzhenko, 2022. "Investment in ESG Projects and Corporate Performance of Multinational Companies," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 37(1), pages 54-92.
• Umair Bin YOUSAF & Khalil JEBRAN & Man WANG, 2022. "A Comparison of Static, Dynamic and Machine Learning Models in Predicting the Financial Distress of Chinese Firms," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 122-138, April.
• Umair Bin YOUSAF & Khalil JEBRAN & Man WANG, 2022. "A Comparison of Static, Dynamic and Machine Learning Models in Predicting the Financial Distress of Chinese Firms," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-139, April.
• Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
• Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 69-85, April.
• Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022. "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 169-181, December.
• Zuzana JANKOVÁ & Petr DOSTÁL, 2022. "Evaluation of the Degree of Uncertainty in the Type-2 Fuzzy Logic System for Forecasting Stock Index," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 41-57, December.
• Bahram Adrangi & Arjun Chatrath, 2022. "Dynamic Responses of Major Pacific Rim Emerging Equity Markets to the US Crude Oil Fear Index (OVX)," Bulletin of Applied Economics, Risk Market Journals, vol. 9(1), pages 51-84.
• Kuznetsova, Mariya (Кузнецова, Мария) & Sinelnikova-Muryleva, Elena (Синельникова-Мурылева, Елена) & Shilov, Kirill (Шилов, Кирилл), 2022. "Factor models of cryptocurrency return within homogeneous groups [Факторные Модели Доходности Однородных Групп Криптовалют]," Working Papers w20220112, Russian Presidential Academy of National Economy and Public Administration.
• Abramov, Alexander (Абрамов, Александр) & Radygin, Alexander (Радыгин, Александр) & Chernova, Maria (Чернова, Мария), 2022. "Mandatory Pension Savings In Russia: Experience And Prospects [Обязательные Пенсионные Накопления В России: Опыт И Перспективы]," Working Papers w20220115, Russian Presidential Academy of National Economy and Public Administration.
• Abramov, Alexander (Абрамов, Александр) & Radygin, Alexander (Радыгин, Александр) & Chernova, Maria (Чернова, Мария), 2022. "Mandatory Pension Savings In Russia: Experience And Prospects [Обязательные Пенсионные Накопления В России: Опыт И Перспективы]," Working Papers w20220182, Russian Presidential Academy of National Economy and Public Administration.
• Vedev, Aleksey (Ведев, Алексей) & Silchuk, Anastasia (Сильчук, Анастасия) & Tuzov, Konstantin (Тузов, Константин) & Kovaleva, Marina (Ковалева, Марина) & Eremkin, Vladimir (Ерёмкин, Владимир), 2022. "Organization Of The System Of Macroeconomic Analysis And Forecasting In The Republic Of Uzbekistan [Организация Системы Макроэкономического Анализа И Прогнозирования В Республике Узбекистан]," Working Papers w20220210, Russian Presidential Academy of National Economy and Public Administration.
• Vedev, Aleksey (Ведев, Алексей) & Silchuk, Anastasia (Сильчук, Анастасия) & Tuzov, Konstantin (Тузов, Константин) & Kovaleva, Marina (Ковалева, Марина) & Eremkin, Vladimir (Ерёмкин, Владимир), 2022. "Assessment Of The Prospects For Russia To Enter The Path Of Sustainable Growth After 2021: Analysis Of Possible Development Risks And Development Of Proposals For Risk Management [Оценка Перспектив," Working Papers w20220211, Russian Presidential Academy of National Economy and Public Administration.
• Vedev, Alexey (Ведев, Алексей) & Silchuk, Aleksandra (Сильчук, Александра) & Tuzov, Konstantin (Тузов, Константин) & Kovaleva, Marina (Ковалева, Марина) & Eremkin, Vladimir (Ерёмкин, Владимир), 2022. "Analysis Of The Efficiency Of Industry Support Measures During The Coronavirus Pandemic And Their Contribution To The Recovery Of Economic Activity In Russia [Анализ Эффективности Отраслевых Мер По," Working Papers w20220298, Russian Presidential Academy of National Economy and Public Administration.
• Hui Zeng & Ben R Marshall & Nhut H Nguyen & Nuttawat Visaltanachoti, 2022. "Are individual stock returns predictable?," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 135-162, February.
• Ummul Ruthbah, 2022. "The retirement puzzle," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 342-367, May.
• Ranajit Kumar Bairagi, 2022. "Dynamic Impacts of Economic Policy Uncertainty on Australian Stock Market: An Intercontinental Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 64-91, March.
• Vamsidhar Ambatipudi & Dilip Kumar, 2022. "Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 184-210, June.
• Jacek Karasinski, 2022. "The Impact of the COVID-19 Outbreak on the Weak-Form Informational Efficiency of the Warsaw Stock Exchange (Wplyw wybuchu epidemii COVID-19 na efektywnosc informacyjna Gieldy Papierow Wartosciowych w ," Research Reports, University of Warsaw, Faculty of Management, vol. 2(37), pages 15-28.
• Fabio Bellini & Edit Rroji & Carlo Sala, 2022. "Implicit quantiles and expectiles," Annals of Operations Research, Springer, vol. 313(2), pages 733-753, June.
• Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
• Luca Grilli & Domenico Santoro, 2022. "Forecasting financial time series with Boltzmann entropy through neural networks," Computational Management Science, Springer, vol. 19(4), pages 665-681, October.
• Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
• Jasleen Kaur & Khushdeep Dharni, 2022. "Assessing efficacy of association rules for predicting global stock indices," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 49(3), pages 329-339, September.
• Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Digital Finance, Springer, vol. 4(1), pages 17-61, March.
  • Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Post-Print hal-04021587, HAL.
• Helmut Wasserbacher & Martin Spindler, 2022. "Machine learning for financial forecasting, planning and analysis: recent developments and pitfalls," Digital Finance, Springer, vol. 4(1), pages 63-88, March.
• Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
• Ahmed Bouteska & Mehdi Mili, 2022. "Does corporate governance affect financial analysts’ stock recommendations, target prices accuracy and earnings forecast characteristics? An empirical investigation of US companies," Empirical Economics, Springer, vol. 63(4), pages 2125-2171, October.
• Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
• Nicholas Apergis & Ioannis Chatziantoniou, 2022. "US partisan conflict shocks and international stock market returns," Empirical Economics, Springer, vol. 63(6), pages 2817-2854, December.
• Budi Wahyono, 2022. "The value of political connections and Sharia compliance during the COVID-19 pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 1-28, March.
• Gianluca P. M. Virgilio, 2022. "A theory of very short-time price change: security price drivers in times of high-frequency trading," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
• Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
• Jorge González Cázares & Aleksandar Mijatović, 2022. "Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation," Finance and Stochastics, Springer, vol. 26(4), pages 671-732, October.
• Gülcan Erkilet & Gerrit Janke & Rainer Kasperzak, 2022. "How valuation approach choice affects financial analysts’ target price accuracy," Journal of Business Economics, Springer, vol. 92(5), pages 741-779, July.
• Ramis Khabibullin & Alexey Ponomarenko, 2022. "An empirical behavioral model of household’s deposit dollarization," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 827-847, July.
  • Ramis Khabibullin & Alexey Ponomarenko, 2020. "An empirical behavioral model of households’ deposit dollarization," Bank of Russia Working Paper Series wps67, Bank of Russia.
• Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
• Haydory Akbar Ahmed & M. Wasiqur Rahman Khan, 2022. "Short-term and long-term interest rate spread’s dynamics to risk and the yield curve," SN Business & Economics, Springer, vol. 2(10), pages 1-19, October.
• Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
• Panagiotis Anastasiadis & Stephanos Papadamou, 2022. "The dimension of popularity in the cryptocurrency market," SN Business & Economics, Springer, vol. 2(5), pages 1-15, May.
• Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
• Rachna Mahalwala, 2022. "Analysing exchange rate volatility in India using GARCH family models," SN Business & Economics, Springer, vol. 2(9), pages 1-16, September.
• Guanming He & April Zhichao Li & Dongxiao Shen, 2022. "The Role of Earnings Management in Equity Valuation," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 88, pages 2061-2094, Springer.
• Daniel Tut, 2022. "Bitcoin: Future or Fad?," Springer Books, in: Thomas Walker & Frederick Davis & Tyler Schwartz (ed.), Big Data in Finance, pages 133-157, Springer.
  • Tut, Daniel, 2022. "Bitcoin: Future or Fad?," MPRA Paper 112376, University Library of Munich, Germany.
• Yu-Min Lian & Jia-Ling Chen & Hsueh-Chien Cheng, 2022. "Predicting Bitcoin Prices via Machine Learning and Time Series Models," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(5), pages 1-2.
• Rosa Ferrentino & Luca Vota, 2022. "A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
• Jiří Kučera & Eva Kalinová & Lenka Divoká, 2022. "Profitability of current investments in stock indexes," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 10(1), pages 420-434, September.
• Florin Aliu & Simona Hašková & Petr Šuleř, 2022. "Sustainability of electricity prices and the consequences for the Prague Stock Exchange," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 10(2), pages 473-494, December.
• Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
  • Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers 201972, University of Pretoria, Department of Economics.
• Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
  • Beckmann, Joscha & Czudaj, Robert L., 2024. "Fundamental determinants of exchange rate expectations," MPRA Paper 120648, University Library of Munich, Germany.
  • Joscha Beckmann & Robert L. Czudaj, 2022. "Fundamental determinants of exchange rate expectations," Chemnitz Economic Papers 056, Department of Economics, Chemnitz University of Technology, revised Mar 2022.
• Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 24-37, December.
• Gbadebo Adedeji Daniel & Akande Joseph Olorunfemi & Adekunle Ahmed Oluwatobi, 2022. "Price Prediction for Bitcoin: Does Periodicity Matter?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 69-92, December.
• Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
  • Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
• Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J.J., 2022. "The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision," Energy Economics, Elsevier, vol. 112(C).
  • Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J. J., 2022. "The effectiveness of carbon pricing : The role of diversification in a firm's investment decision?," Other publications TiSEM abf6597c-1ba5-4816-a46e-8, Tilburg University, School of Economics and Management.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
  • Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
• Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
• Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
  • Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  • Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
• Luca Bagato & Alessio Gioia & Enrico Mandelli, 2022. "A Reflexivity-Volatility Based Risk Assessment Tool," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 130(1), pages 29-44.
• Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
  • Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022. "Can Volatility Solve the Naive Portfolio Puzzle?," Villanova School of Business Department of Economics and Statistics Working Paper Series 52, Villanova School of Business Department of Economics and Statistics.
• Emine Askan & Faruk Urak & Abdulbaki Bilgic, Corresponding author, 2022. "Revealing Asymmetric Spillover Effects in Hazelnut, Gasoline, and Exchange Rate Markets in Turkey: The VECM-BEKK-MGARCH Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 69(1), pages 35-54, February.
• Emine Askan & Faruk Urak & Abdulbaki Bilgic, 2022. "Revealing Asymmetric Spillover Effects in Hazelnut, Gasoline, and Exchange Rate Markets in Turkey: The VECM-BEKK-MGARCH Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 69(1), pages 35-54.
• Sroka Łukasz, 2022. "Applying Block Bootstrap Methods in Silver Prices Forecasting," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 26(2), pages 15-29, June.
• Barbu Teodora Cristina & Boitan Iustina Alina & Cepoi Cosmin-Octavian, 2022. "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks," Economics and Business Review, Sciendo, vol. 8(2), pages 29-49, July.
• Kropiński Paweł & Anholcer Marcin, 2022. "How Google Trends can improve market predictions— the case of the Warsaw Stock Exchange," Economics and Business Review, Sciendo, vol. 8(2), pages 7-28, July.
• Dumiter Florin Cornel & Turcaș Florin Marius, 2022. "Theoretical and empirical underpinnings regarding stock market forecasts and predictions," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 32(1), pages 1-19, March.
• Thi Thu Giang Nguyen & Robert Ślepaczuk, 2022. "The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index," Working Papers 2022-29, Faculty of Economic Sciences, University of Warsaw.
• Savvakis C. Savvides, 2022. "Risk through the Looking Glass," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 23(4), pages 71-98, October.
  • Savvakis C. Savvides, 2022. "Risk Through the Looking-Glass," Development Discussion Papers 2022-06, JDI Executive Programs.
• Stavros Degiannakis, 2022. "Stock market as a nowcasting indicator for real investment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 911-919, August.
  • Degiannakis, Stavros, 2021. "Stock market as a nowcasting indicator for real investment," MPRA Paper 110914, University Library of Munich, Germany.
• Kok-Leong Yap & Wee-Yeap Lau & Izlin Ismail, 2022. "Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-21, December.
• Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
  • Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Michael Minye Tang, 2022. "Consistency in Management Earnings Guidance Patterns," The International Journal of Accounting (TIJA), World Scientific Publishing Co. Pte. Ltd., vol. 57(01), pages 1-45, March.
• Sabri Boubaker & Duc Khuong Nguyen (ed.), 2022. "Financial Transformations Beyond the COVID-19 Health Crisis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number q0318.
• Linh Tu Ho & Christopher Gan, 2022. "Health and Socio-economic Consequences of the COVID-19 Pandemic: Government Responses and Recovery," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 1, pages 3-43, World Scientific Publishing Co. Pte. Ltd..
• Anthony J. Makin, 2022. "The Pandemic’s Pernicious Public Debt Legacy," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 2, pages 45-62, World Scientific Publishing Co. Pte. Ltd..
• John L. Haracz, 2022. "The Importance of Negative Feedback and Countervailing Measures for Financial System Stabilization and Constrained Inequality: A COVID-19–Induced Reminder," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 3, pages 63-111, World Scientific Publishing Co. Pte. Ltd..
• İlkay Şendeniz-Yüncü, 2022. "New Evidence on the Interactions Between International Integration and Real Economy During the COVID-19 Crisis," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 4, pages 113-130, World Scientific Publishing Co. Pte. Ltd..
• Alfredo Martín-Oliver & Florina Silaghi, 2022. "Great Recession: Mere Dry Run for COVID-19?," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 5, pages 131-151, World Scientific Publishing Co. Pte. Ltd..
• Veni Arakelian, 2022. "Extreme Events: What Are US Stock Market Sectors Afraid of More?," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 6, pages 155-197, World Scientific Publishing Co. Pte. Ltd..
• Moritz Johannes Herber & Matthias Scherf, 2022. "Rational Behavior or Mere Panic? The Effects of the COVID-19 Pandemic on the Stock Markets," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 7, pages 199-227, World Scientific Publishing Co. Pte. Ltd..
• Jiayang Nie & Xiao Qiao & Sibo Yan, 2022. "COVID-19 Effects on Intraday Stock Market Behavior," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 8, pages 229-252, World Scientific Publishing Co. Pte. Ltd..
• Huy Pham & Vikash Ramiah & Nisreen Moosa & Giancarlo Giudici & Vijay Pereira, 2022. "The Short-Term Effects of COVID-19 on China’s Stock Market," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 9, pages 253-286, World Scientific Publishing Co. Pte. Ltd..
• Zeynep Kantur & Gülserim Özcan, 2022. "Impact of the Severity of the COVID-19 Pandemic on the Interaction Between Foreign Trading and Stock Market Volatility," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 10, pages 287-308, World Scientific Publishing Co. Pte. Ltd..
• Abdelkader Derbali & Mohamed Bechir Chenguel & Lamia Jamel & Meriem Jouirou & Fathi Jouini, 2022. "COVID-19 Pandemic and Co-movement Dynamics Among American and European Stock Markets," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 11, pages 309-346, World Scientific Publishing Co. Pte. Ltd..
• Marco Rossi, 2022. "Insuring Against Pandemics: A Private Sector Instrument for the Private Sector," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 12, pages 349-362, World Scientific Publishing Co. Pte. Ltd..
• Asror Nigmonov & Hussein Daradkeh, 2022. "From One Crisis to Another: Impact of COVID-19 Pandemic on Peer-to-Peer Lending Market," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 13, pages 363-402, World Scientific Publishing Co. Pte. Ltd..
• Francesca Battaglia & Francesco Busato & Maria Manganiello, 2022. "Equity Crowdfunding: Brave Market or Safe Haven for the Crowd During the COVID-19 Crisis?," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 14, pages 403-445, World Scientific Publishing Co. Pte. Ltd..
• Saroja Selvanathan & Eliyathamby A. Selvanathan, 2022. "The Nexus Between Oil and Gold Prices During the COVID-19 Pandemic," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 15, pages 447-474, World Scientific Publishing Co. Pte. Ltd..
• Stelios Markoulis & Neophytos Vasiliou, 2022. "The Resilience of the Euro in the Era of COVID-19," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 16, pages 475-498, World Scientific Publishing Co. Pte. Ltd..
• Jędrzej Białkowski & Anna Sławik, 2022. "Does a High ESG Score Pay Off During the Pandemic Outbreak?," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 17, pages 501-533, World Scientific Publishing Co. Pte. Ltd..
• Valdonė Darškuvienė & Bernadeta Goštautaitė & Egidijus Kundelis & Dalius Misiūnas & Siuzana Ščerbina-Dalibagienė, 2022. "Firm Liquidity During the COVID-19 Crisis," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 18, pages 535-554, World Scientific Publishing Co. Pte. Ltd..
• Grazia Dicuonzo & Francesca Donofrio, 2022. "The Implications of the COVID-19 Pandemic on Corporate Governance: The Board of Directors’ Response," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 19, pages 555-581, World Scientific Publishing Co. Pte. Ltd..
• Nidhi Kaicker & Radhika Aggarwal & Raghav Gaiha, 2022. "COVID-19 Pandemic: Impact of Lockdown on Firm-Level Returns in India," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 20, pages 583-613, World Scientific Publishing Co. Pte. Ltd..
• Shreya Biswas & Nivedita Sinha, 2022. "Business Group Affiliation and Resilience to COVID-19 Outbreak in India," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 21, pages 615-637, World Scientific Publishing Co. Pte. Ltd..
• Magdalena Grothe & Antonio Sánchez Serrano, 2022. "Two Questions on the Banking Sector After the Pandemic Hit," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 22, pages 641-665, World Scientific Publishing Co. Pte. Ltd..
• Frederic de Mariz, 2022. "How Will the 2020 Crisis Accelerate the Evolution of the Banking System?," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 23, pages 667-695, World Scientific Publishing Co. Pte. Ltd..
• Wissem Ajili-Ben Youssef & Yves Rakotondratsimba, 2022. "Future Research Avenues for Finance in Transformation," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 24, pages 697-727, World Scientific Publishing Co. Pte. Ltd..
• Jasmine T. Ha & Jason Q. Nguyen & Quan V. Le, 2022. "Impacts of COVID-19 on Digital Financial Transformation: Insights from Consumer Behaviors in Vietnam," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 25, pages 729-755, World Scientific Publishing Co. Pte. Ltd..
• Mazin A. M. Al Janabi, 2022. "Transformation of Derivatives Securities in Emerging Markets: Policy Implications in Light of the 2007–2009 Global Financial Crisis and COVID-19 Pandemic," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 26, pages 757-786, World Scientific Publishing Co. Pte. Ltd..
• Qiyu Wang, 2022. "Impact on Financial Markets and Institutions," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 27, pages 787-801, World Scientific Publishing Co. Pte. Ltd..
• Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
• Ulrich Krüger & Christoph Roling & Leonid Silbermann & Lui-Hsian Wong, 2025. "Bank’s strategic interaction, adverse price dynamics and systemic liquidity risk," Journal of Banking Regulation, Palgrave Macmillan, vol. 26(1), pages 1-24, March.
  • Krüger, Ulrich & Roling, Christoph & Silbermann, Leonid & Wong, Lui Hsian, 2022. "Banks' strategic interaction, adverse price dynamics and systemic liquidity risk," Discussion Papers 06/2022, Deutsche Bundesbank.
• Metiu, Norbert, 2022. "A composite indicator of financial conditions for Germany," Technical Papers 03/2022, Deutsche Bundesbank.
• Nützenadel, Alexander, 2022. "Risk management, expectations and global finance: The case of Deutsche Bank 1970-1990," Working Papers 36, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
• Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  • Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
• Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.

2021

• Barnabas Timar, 2021. "How Does the Market Price Responsible and Sustainable Investments?," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(2), pages 117-147.
• Marek Sojka, 2021. "PEAD na polskim rynku akcji," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 143-166.
• Sylwia Radomska, 2021. "Prognozowanie indeksu WIG20 za pomocą sieci neuronowych NARX i metody SVM," Bank i Kredyt, Narodowy Bank Polski, vol. 52(5), pages 457-472.
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021. "Is There A Replication Crisis In Finance?," NBER Working Papers 28432, National Bureau of Economic Research, Inc.
• Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  • Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers 28569, National Bureau of Economic Research, Inc.
• Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  • Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
• Chi Heem Wong & Dexin Li & Nina Wang & Jonathan Gruber & Rena M. Conti & Andrew W. Lo, 2021. "Estimating the Financial Impact of Gene Therapy in the U.S," NBER Working Papers 28628, National Bureau of Economic Research, Inc.
• Baker, Scott R. & Bloom, Nicholas & Davis, Steven J. & Sammo, Marco C., 2021. "What triggers stock market jumps?," LSE Research Online Documents on Economics 113913, London School of Economics and Political Science, LSE Library.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," CEP Discussion Papers dp1789, Centre for Economic Performance, LSE.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," POID Working Papers 010, Centre for Economic Performance, LSE.
• Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
• E Philip Davis & Ka Kei Chan & Dilruba Karim, 2021. "Macroprudential Policy, Bank Competition and Bank Risk in East Asia," National Institute of Economic and Social Research (NIESR) Discussion Papers 533, National Institute of Economic and Social Research.
• Laurentiu DROJ & Gabriela DROJ, 2021. "Considerations Regarding The Impact Of The Covid-19 Pandemics Over The Financial Performance At The Level Of The Tourism Companies Operating In Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 30(2), pages 291-298, December.
• Iulian-Cornel LOLEA & Ioan-Radu PETRARIU & Adriana GIURGIU, 2021. "ARIMA vs. MACHINE LEARNING IN TERMS OF EQUITY MARKET FORECASTING," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 30(2), pages 299-308, December.
• Takuro Hidaka & Jun Sakamoto, 2021. "Predictability of market returns for the UK's former colonies, protectorates, and mandates," Discussion Papers in Economics and Business 21-08, Osaka University, Graduate School of Economics.
• Takuro Hidaka & Yuta Saito & Jun Sakamoto, 2021. "Historical Relationships and International Market Return Predictability: The Role of the UK in the Former British Colonies, Protectorates and Mandates," Discussion Papers in Economics and Business 21-08-Rev., Osaka University, Graduate School of Economics, revised Oct 2023.
• Amane Saito, 2021. "On Volatility Linkages among Carbon Price, Stock Price, Interest Rate and Exchange Rate," Discussion Papers in Economics and Business 21-20, Osaka University, Graduate School of Economics.
• Apaar Sadhwani & Kay Giesecke & Justin Sirignano, 2021. "Deep Learning for Mortgage Risk [The Subprime Virus]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 313-368.
• Sermin Gungor & Richard Luger, 2021. "Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 746-788.
• Steven Lehrer & Tian Xie & Tao Zeng, 2021. "Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures? [Regression Models with Mixed Sampling Frequencies]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 910-933.
  • Steven F. Lehrer & Tian Xie & Tao Zeng, 2019. "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers 26505, National Bureau of Economic Research, Inc.
• Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021. "Bond Risk Premiums with Machine Learning [Quadratic term structure models: Theory and evidence]," The Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1046-1089.
• Jiménez-Méndez, Edgar Ricardo & Aguilera Peña, Nicolás, 2021. "Aplicación de la hipótesis de paridad de poder adquisitivo en el pronóstico de la tasa de cambio del peso colombiano contra el dólar estadounidense || Application of the purchasing power parity hypoth," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 29-48, December.
• Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
• Martin Zurek & Lars Heinrich, 2021. "Bottom-up versus top-down factor investing: an alpha forecasting perspective," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 11-29, February.
• Wolfgang Bessler & Georgi Taushanov & Dominik Wolff, 2021. "Factor investing and asset allocation strategies: a comparison of factor versus sector optimization," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 488-506, October.
• Lars Heinrich & Antoniya Shivarova & Martin Zurek, 2021. "Factor investing: alpha concentration versus diversification," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 464-487, October.
• Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
• Subhransu S. Mohanty & Odette Mohanty & Mike Ivanof, 2021. "Alpha enhancement in global equity markets with ESG overlay on factor-based investment strategies," Risk Management, Palgrave Macmillan, vol. 23(3), pages 213-242, September.
• Sebastian Letmathe & Yuanhua Feng & André Uhde, . "Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall," Journal of Risk, Journal of Risk.
  • Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021. "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE 141, Paderborn University, CIE Center for International Economics.
• Inna Shkolnyk & Serhiy Kozmenko & Olga Kozmenko & Volodymyr Orlov & Fathi Shukairi, 2021. "Modeling of the financial system’s stability on the example of Ukraine," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(2), pages 377-411, June.
• Michal Karas & Mária Režòáková, 2021. "The role of financial constraint factors in predicting SME default," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(4), pages 859-883, December.
• Friesz, Melinda & Váradi, Kata, 2021. "How is it Done? Comparison between the Margin Calculation methodology of central counterparties and clearinghouses," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(3), pages 397-412.
• Pincheira, Pablo & Hardy, Nicolás & Muñoz, Felipe, 2021. ""Go wild for a while!": A new asymptotically Normal test for forecast evaluation in nested models," MPRA Paper 105368, University Library of Munich, Germany.
• Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Apr 2024.
  • Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
• Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023. "Statistical arbitrage: factor investing approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
  • Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021. "Statistical Arbitrage: Factor Investing Approach," Working Papers 2021-003, Department of Research, Ipag Business School.
  • Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Statistical arbitrage: Factor investing approach," MPRA Paper 105766, University Library of Munich, Germany.
• Mitja Steinbacher & Matthias Raddant & Fariba Karimi & Eva Camacho Cuena & Simone Alfarano & Giulia Iori & Thomas Lux, 2021. "Advances in the agent-based modeling of economic and social behavior," SN Business & Economics, Springer, vol. 1(7), pages 1-24, July.
  • Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021. "Advances in the Agent-Based Modeling of Economic and Social Behavior," MPRA Paper 107317, University Library of Munich, Germany.
• Pablo Pincheira Brown & Nicolás Hardy, 2024. "The mean squared prediction error paradox," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2298-2321, September.
  • Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
• Pablo Pincheira-Brown & Nicolás Hardy & Cristobal Henrriquez & Ignacio Tapia & Andrea Bentancor, 2023. "Forecasting Base Metal Prices with an International Stock Index," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(3), pages 277-302, October.
  • Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021. "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper 107828, University Library of Munich, Germany.
• Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
• Khalid Ahmed Al-Ansari & Ahmet Faruk Aysan, 2021. "More than ten years of Blockchain creation: How did we use the technology and which direction is the research heading? [Plus de dix ans de création Blockchain : Comment avons-nous utilisé la techno," Working Papers hal-03343048, HAL.
  • Al-Ansari, Khalid Ahmed & Aysan, Ahmet Faruk, 2021. "More than ten years of Blockchain creation: How did we use the technology and which direction is the research heading?," MPRA Paper 109720, University Library of Munich, Germany.
• Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021. "Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
  • Ogbonna, Ahamuefula & Olubusoye, Olusanya E, 2021. "Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific," MPRA Paper 109922, University Library of Munich, Germany.
• Astaiza-Gómez, José Gabriel, 2021. "The Effects of Investors' Information Acquisition On Sell-Side Analysts Forecast Bias," MPRA Paper 110059, University Library of Munich, Germany.
• Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023. "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , vol. 44(5), pages 231-250, September.
  • Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
• Stavros Degiannakis, 2022. "Stock market as a nowcasting indicator for real investment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 911-919, August.
  • Degiannakis, Stavros, 2021. "Stock market as a nowcasting indicator for real investment," MPRA Paper 110914, University Library of Munich, Germany.
• Le, Tuan Anh & Dao, Thi Thanh Binh, 2021. "Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange," MPRA Paper 111105, University Library of Munich, Germany.
• Bradrania, Reza & Pirayesh Neghab, Davood, 2021. "State-dependent asset allocation using neural networks," MPRA Paper 115254, University Library of Munich, Germany.
• Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
• Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
• Sisa Shiba & Juncal Cunado & Rangan Gupta, 2022. "Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases," JRFM, MDPI, vol. 15(1), pages 1-18, January.
  • Sisa Shiba & Juncal Cunado & Rangan Gupta, 2021. "Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases," Working Papers 202181, University of Pretoria, Department of Economics.
• Agnieszka Marciniuk, 2021. "Equity Release Contracts with Varying Payments," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(5), pages 552-574.
• Agnieszka Marciniuk, 2021. "Equity Release Contracts with Varying Payments," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(5), pages 552-574.
• Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Extensions to IVX methods of inference for return predictability," Journal of Econometrics, Elsevier, vol. 237(2).
  • Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
  • Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers 29779, University of Essex, Essex Business School.
• Gazi Salah Uddin & Ou Tang & Maziar Sahamkhadam & Farhad Taghizadeh-Hesary & Muhammad Yahya & Pontus Cerin & Jakob Rehme, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
• Robert Garafutdinov, 2021. "Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 62, pages 85-100.
• Bogdan Potanin & Juri Trifonov, 2021. "The influence of investors’ expectations on oil prices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 76-90.
• Zekai Senol, 2021. "Volatility Spillover between the Stock Market, Exchange Rates, Interest Rates and CDS Premiums: Evidence from Turkey (Borsa Endeksi, Döviz Kuru, Faiz Oranları ve CDS Primleri Arasındaki Oynaklık Yayıl," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 111-126.
• Roselyn Dimingo & John W. Muteba Mwamba & Lumengo Bonga-Bonga, 2021. "Prediction of Stock Market Direction: Application of Machine Learning Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 499-536.
• Chao YU & Xujie ZHAO, 2021. "Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 32-47, December.
• Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
• Daehyeon PARK & Doojin RYU, 2021. "Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 22-34, June.
• Fiza QURESHI & Saba QURESHI & Sobia Shafaq SHAH, 2021. "Do Mutual Fund Flows Influence Stock Market Volatility? Further Evidence from Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 35-51, June.
• L. El’shin A. & V. Banderov V. & A. Abdukaeva A. & Л. Ельшин А. & В. Бандеров В. & А. Абдукаева А., 2021. "Методика оценки влияния диффузии блокчейн-технологий на развитие национальной экономической системы (на примере экономики РФ) // Methodology for Assessing the Impact of the Diffusion of blockchain Tec," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 25(2), pages 145-165.
• I. Yakovenko V. & И. Яковенко В., 2021. "Математические модели реализации концепции жестких бюджетных ограничений в бюджетной системе // Mathematical Models for Implementation of the Concept of Hard budget Restrictions in the budgetary syste," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 25(3), pages 6-19.
• Reyes García, Nallely Jacqueline & Venegas Martínez, Francisco & Martínez Palacios, María Teresa Verónica, 2021. "Análisis comparativo entre el modelo ARMA y su versión continua CARMA sobre la dinámica del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Comparative analysis between the ARMA mod," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(1), pages 33-57, enero-jun.
• López Malpica, Gustavo & Hoyos Reyes, Luis Fernando & Rodríguez Benavides, Domingo & Mora Gutiérrez, Roman Anselmo, 2021. "Técnicas metaheurísticas para pronosticar el tipo de cambio del dólar de Estados Unidos con respecto al peso mexicano / Adaptation of Metaheuristic Techniques to Forecast the USD Dollar-MXN Peso Excha," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(2), pages 147-172, julio-dic.
• Mendez Molina, Maivelin & Olivares Aguayo, Héctor Alonso & Andrade Rosas, Luis Antonio, 2021. "Portafolios de volatilidad con opciones financieras. Un análisis por series de tiempo para las empresas BIMBO y HERDEZ del sector de alimentos de la BMV / Volatility Portfolios with Financial Options.," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(2), pages 173-208, julio-dic.
• Kamil Polak, 2021. "The Impact of Investor Sentiment on Direction of Stock Price Changes: Evidence from the Polish Stock Market," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(16), pages 72-90, December.
• Eryk Bobowski, 2021. "Modele dyskryminacyjne jako narzedzie oceny zagrozenia upadloscia przemyslowych grup kapitalowych – sektor chemiczny (Discriminatory models as a tool for bankruptcy risk assessment industrial capital ," Research Reports, University of Warsaw, Faculty of Management, vol. 1(34), pages 44-60.
• Chaeshick Chung & Sukjin Park, 2021. "Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks," Working Papers 2108, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
• Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
• Alessandra Cretarola & Gianna Figà-Talamanca, 2021. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 299(1), pages 459-479, April.
• David Volkmann, 2021. "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 665-685, June.
• Vikram Ojha & JeongHoe Lee, 2021. "Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009," Digital Finance, Springer, vol. 3(3), pages 249-271, December.
• Alain Kabundi & Asithandile Mbelu, 2021. "Estimating a time-varying financial conditions index for South Africa," Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
  • Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
• Nima Nonejad, 2021. "Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions," Empirical Economics, Springer, vol. 61(2), pages 973-1009, August.
• Yoichi Tsuchiya, 2021. "Crises, market shocks, and herding behavior in stock price forecasts," Empirical Economics, Springer, vol. 61(2), pages 919-945, August.
• Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 61(2), pages 947-972, August.
• Ahmet Akca & Ethem Çanakoğlu, 2021. "Adaptive stochastic risk estimation of firm operating profit," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(3), pages 463-504, September.
• Helder Sebastião & Pedro Godinho, 2021. "Forecasting and trading cryptocurrencies with machine learning under changing market conditions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
• David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
• Darko B. Vukovic & Carlos J. Rincon & Moinak Maiti, 2021. "Price distortions and municipal bonds premiums: evidence from Switzerland," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
• Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
• Rama K. Malladi & Prakash L. Dheeriya, 2021. "Time series analysis of Cryptocurrency returns and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 75-94, January.
• Jose I. Alvarado & Lindsay C. Clark & Jose A. Gutierrez, 2021. "Stock performance subsequent to combinations in quarterly revenue surprise, earnings surprise, guidance, valuation, and report time," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 95-117, January.
• Yuanyuan (Catherine) Chen, 2021. "Empirical analysis of bitcoin price," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 692-715, October.
• Parthajit Kayal & Sumanjay Dutta & Vipul Khandelwal & Rakesh Nigam, 2021. "Information Theoretic Ranking of Extreme Value Returns," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 1-21, March.
• Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harré, 2021. "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large-scale agent-based model," SN Business & Economics, Springer, vol. 1(6), pages 1-21, June.
• Mitja Steinbacher & Matthias Raddant & Fariba Karimi & Eva Camacho Cuena & Simone Alfarano & Giulia Iori & Thomas Lux, 2021. "Advances in the agent-based modeling of economic and social behavior," SN Business & Economics, Springer, vol. 1(7), pages 1-24, July.
  • Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021. "Advances in the Agent-Based Modeling of Economic and Social Behavior," MPRA Paper 107317, University Library of Munich, Germany.
• Nikolaos Stoupos & Apostolos Kiohos, 2021. "BREXIT referendum’s impact on the financial markets in the UK," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(1), pages 1-19, February.
• Yu-Min Lian & Chia-Hsuan Li & Yi-Hsuan Wei, 2021. "Machine Learning and Time Series Models for VNQ Market Predictions," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(5), pages 1-2.
• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
  • Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
  • Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2020. "The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX," CESifo Working Paper Series 8196, CESifo.
• Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
• Martin Llada, 2021. "Relationship between country risk volatility and indices based on unstructured information," Estudios de Economia, University of Chile, Department of Economics, vol. 48(2 Year 20), pages 175-218, December.
• Mubarok, Faizul & Al Arif, Mohammad Nur Rianto, 2021. "Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 27-37.
• Ming, Kelvin Lee Yong & Jais, Mohamad, 2021. "Effectiveness of Moving Average Rules During COVID-19 Pandemic: Evidence from Malaysian Stock Market," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 87-98.
• Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021. "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 15-28.
• Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  • Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
  • Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
• Ristić Kristijan & Jemović Mirjana, 2021. "Analysis of Non-Performing Loans’ Determinants in the Banking Sector of the Republic of Serbia," Economic Themes, Sciendo, vol. 59(1), pages 133-151, March.
• Habibi Reza, 2021. "Application of Predictive Methods to Financial Data Sets," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 17(1), pages 50-61, March.
• Habibi Reza, 2021. "Bayesian Online Change Point Detection in Finance," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 17(4), pages 27-33, December.
• Pilch Bartłomiej, 2021. "An Analysis of the Effectiveness of Bankruptcy Prediction Models – an Industry Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 21(2), pages 76-96, December.
• Sika Peter & Vidová Jarmila, 2021. "Reality and expectations of old-age pension savings in the pension system of the Slovak Republic," Review of Economic Perspectives, Sciendo, vol. 21(4), pages 411-436, December.
• Ceylan Nesrin & Münyas Turgay, 2021. "An Empirical Investigation on the Relationship Between the Eurozone Zew Index and the Eurozone Stock Markets," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 31(4), pages 1-17, December.
• Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021. "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
  • Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
  • Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
• Janis Becker & Christian Leschinski, 2021. "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 269-278, March.
  • Becker, Janis & Leschinski, Christian, 2018. "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP) dp-631, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
  • Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
• Gregor Semieniuk & Emanuele Campiglio & Jean‐Francois Mercure & Ulrich Volz & Neil R. Edwards, 2021. "Low‐carbon transition risks for finance," Wiley Interdisciplinary Reviews: Climate Change, John Wiley & Sons, vol. 12(1), January.
  • Gregor Semieniuk & Emanuele Campiglio & Jean-Francois Mercure & Ulrich Volz & Neil R. Edwards, 2020. "Low-carbon transition risks for finance," Working Papers 233, Department of Economics, SOAS University of London, UK.
• Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
• Mikael Juselius & Nikola Tarashev, 2021. "Could corporate credit losses turn out higher than expected?," BIS Bulletins 46, Bank for International Settlements.
  • Juselius, Mikael & Tarashev, Nikola A., 2021. "Could corporate credit losses turn out higher than expected?," BoF Economics Review 3/2021, Bank of Finland.
• Barasinska, Nataliya & Ludwig, Johannes & Vogel, Edgar, 2021. "The impact of borrower-based instruments on household vulnerability in Germany," Discussion Papers 20/2021, Deutsche Bundesbank.
• , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
  • Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
• Memmel, Christoph & Roling, Christoph, 2021. "Risks in domestic banks' corporate lending business," Technical Papers 08/2021, Deutsche Bundesbank.
• Memmel, Christoph & Roling, Christoph, 2021. "Risiken im Unternehmenskreditgeschäft inländischer Banken [Risks in domestic banks' corporate lending business]," Technical Papers 08/2021, Deutsche Bundesbank.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021. "Multivariate crash risk," CFR Working Papers 21-07, University of Cologne, Centre for Financial Research (CFR).
• Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
  • Lyócsa, Štefan & Baumöhl, Eduard & Vŷrost, Tomáš, 2021. "YOLO trading: Riding with the herd during the GameStop episode," EconStor Preprints 230679, ZBW - Leibniz Information Centre for Economics.
• Virla, Leonardo Quero, 2021. "An empirical characterization of volatility dynamics in the DAX," IPE Working Papers 167/2021, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
• Klein, Tony, 2021. "Agree to Disagree? Predictions of U.S. Nonfarm Payroll Changes between 2008 and 2020 and the Impact of the COVID19 Labor Shock," QBS Working Paper Series 2021/07, Queen's University Belfast, Queen's Business School.
• Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2021. "Momentum-managed equity factors," SAFE Working Paper Series 317, Leibniz Institute for Financial Research SAFE.
• Gianluca Anese & Marco Corazza & Michele Costola & Loriana Pelizzon, 2023. "Impact of public news sentiment on stock market index return and volatility," Computational Management Science, Springer, vol. 20(1), pages 1-36, December.
  • Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021. "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series 322, Leibniz Institute for Financial Research SAFE.
• Brückbauer, Frank & Schröder, Michael, 2021. "Data resource profile: The ZEW FMS dataset," ZEW Discussion Papers 21-100, ZEW - Leibniz Centre for European Economic Research.
• Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2021. "Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics," CREATES Research Papers 2021-12, Department of Economics and Business Economics, Aarhus University.
• Rojo-Ramírez, Alfonso A., 2021. "Rendimiento mínimo del inversor-propietario. El caso de la empresa pyme familiar," Small Business International Review, Asociación Española de Contabilidad y Administración de Empresas - AECA, vol. 5(1), pages 287-287, January.
• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2021. "Superior Predictability of American Factors of the Won/Dollar Real Exchange Rate," Auburn Economics Working Paper Series auwp2021-03, Department of Economics, Auburn University.
  • Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2022. "Superior Predictability of American Factors of the Won/Dollar Real Exchange Rate," Auburn Economics Working Paper Series auwp2022-03, Department of Economics, Auburn University.
• Barış Aksoy, 2021. "Predicting Financial Statement Frauds Using Machine Learning Methods and Logistic Regression: The Case of Borsa Istanbul," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(115), pages 27-58, April.
• Mehmet Mete Karadağ, 2021. "Analysis of the Deposit Banks Quoted in BIST With Topsis and Entropy Methods in Terms of IMF Financial Soundness Indicators," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(116), pages 119-142, October.
• Sonat Bayram, 2021. "Estimation of the Future Values of BIST 30 Shares with Geometric Brownian Motion and Volatility Analysis with ARIMA, SARIMA, GARCH, EGARCH, GJR Models," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(Special2), pages 191-218, January.
• Bogdan Cosmin GOMOI & Mioara Florina PANTEA & Lavinia Denisia CUC, 2021. "Brief Financial Diagnosis of a Transnational Company," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(12), pages 19-28, December .
• Elena Cristina DORNEANU, 2021. "Practical Solutions to Increase Business’ Resilience. Diagnostic Analysis of the Company’s Financial Position and Performance," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(10), pages 18-28, October.
• Elena Cristina DORNEANU, 2021. "Practical Solutions to Increase Business’ Resilience. Diagnostic Analysis of the Company’s Financial Position and Performance," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(11), pages 62-72, November.
• Bogdan Cosmin GOMOI & Natalia Ioana PANTELIMON, 2021. "SIG and CAF – Methods of Tracking and Analysing the Financial Performances of Economic Entities," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(1), pages 20-31, January.
• Delia Andreea FLOREA & Diana Iulia OPRIȘ, 2021. "Stock Valuation Methods," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(1), pages 32-38, January.
• Bogdan Cosmin GOMOI, 2021. "Management and Profitability Ratios – The Connection Between the Financial Position and the Performance of the Economic Entities," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(4), pages 39-46, April.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (I) – Identifying the Main Suppliers and Customers," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(5), pages 35-43, May.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU & Ioan-Codruț ȚURLEA, 2021. "Approaches to Setting Sales Prices," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(6), pages 18-25, June.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (II) – Estimating the Cost of Project and Identifying the Main Income and Expense Flows," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(6), pages 26-37, June.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU, 2021. "The Budgetary Management of Sales," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(7), pages 14-24, July.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (III) – Project Evaluation," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(7), pages 25-34, July.
• Bogdan Cosmin GOMOI, 2021. "Short Financial Diagnosis for a Transport Entity," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(8), pages 18-27, August.
• Bogdan Cosmin GOMOI, 2021. "The Financial Analyses of an Entity from the Tourism Field – Between Normality and the COVID-19 Pandemic," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(9), pages 12-21, September.
• Osman Yavuz Akbulut & Ali Hepşen, 2021. "Finansal Performans ve Pay Senedi Getirileri Arasındaki İlişkinin Entropi ve CoCoSo ÇKKV Teknikleriyle Analiz Edilmesi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 681-709.
• Leyla Ar & Reşat Sakur, 2021. "Modern Sermaye Yapısı Teorilerinin Geçerliliğinin Test Edilmesi: BIST 30 Endeksi Firmaları Üzerine Bir Araştırma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 748-773.
• Beibei Yan & Özgür Arslan-Ayaydin & James Thewissen & Wouter Torsin, 2021. "Does managerial ability affect disclosure? Evidence from earnings press releases," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 29(2), pages 192-226, February.
  • Yan, Beibei & Arslan-Ayaydin, Özgür & Thewissen, James & Torsin, Wouter, 2021. "Does managerial ability affect disclosure? Evidence from earnings press releases," LIDAM Reprints LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
• Kyle Hampton & Paul Johnson, 2021. "Kaivik: A Free Online Asset Market Cellphone Interface Experiment with Financial Bubbles," Working Papers 2021-04, University of Alaska Anchorage, Department of Economics.
• Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
  • Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Apr 2024.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
  • Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
• Consoli, Sergio & Pezzoli, Luca Tiozzo & Tosetti, Elisa, 2021. "Emotions in macroeconomic news and their impact on the European bond market," Journal of International Money and Finance, Elsevier, vol. 118(C).
  • Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021. "Emotions in Macroeconomic News and their Impact on the European Bond Market," Papers 2106.15698, arXiv.org.
• Qihui Chen & Nikolai Roussanov & Xiaoliang Wang, 2021. "Semiparametric Conditional Factor Models in Asset Pricing," Papers 2112.07121, arXiv.org, revised Apr 2025.
• Maithili S. Naik & Y.V. Reddy, 2021. "India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(3), pages 252-262, March.
• Khatibu Kazungu & John R. Mboya, 2021. "Volatility of Stock Prices in Tanzania: Application of Garch Models to Dar Es Salaam Stock Exchange," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 9(1), pages 15-28, March.
• Osoolian, Mohammad & Koushki, Ali, 2021. "Prediction of Crisis in Tehran Stock Exchange with Entropy and Analyzing the Identified Crises such as Covid-19 (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, vol. 26(2), pages 133-152, September.
• Neluka Devpura, 2021. "Can Oil Prices Predict Japanese Yen?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
• Afees A. Salisu & Abdulsalam Abidemi Sikiru, 2021. "Pandemics and the Asia-Pacific Islamic Stocks," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-5.
• Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Dariia Vasylieva, 2021. "Corporate Bond Markets In Eastern Europe: Trends And Prospects," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 7(1).
• Rodolfo Méndez-Marcano, 2021. "Global | Modelo vectorial autorregresivo para los tests de estrés de la banca [Global | A vector autoregressive model for banking stress testing]," Working Papers 21/08, BBVA Bank, Economic Research Department.
• Ali CELÝK, 2021. "Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 15(1), pages 61-81.
• Roberto Pascual, 2021. "Do analysts forecast differently in periods of uncertainty? An empirical analysis of target prices for Spanish banks," Working Papers 2144, Banco de España.
• Davide Di Zio & Marco Fanari & Simone Letta & Tommaso Perez & Giovanni Secondin, 2021. "The strategic allocation and sustainability of central banks' investment," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 14, Bank of Italy, Directorate General for Markets and Payment System.
• Gamboa-Estrada, Fredy & Romero, José Vicente, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, Elsevier, vol. 171(C), pages 174-190.
  • Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, CEPII research center, issue 171, pages 174-190.
  • Fredy Gamboa-Estrada & Jose Vicente Romero, 2021. "Common and idiosyncratic movements in Latin-American Exchange Rates," Borradores de Economia 1158, Banco de la Republica de Colombia.
• Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  • Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
  • Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
• Juselius, Mikael & Tarashev, Nikola A., 2021. "Could corporate credit losses turn out higher than expected?," BoF Economics Review 3/2021, Bank of Finland.
  • Mikael Juselius & Nikola Tarashev, 2021. "Could corporate credit losses turn out higher than expected?," BIS Bulletins 46, Bank for International Settlements.
• Sebastian Doerr & Leonardo Gambacorta & José María Serena Garralda, 2021. "Big data and machine learning in central banking," BIS Working Papers 930, Bank for International Settlements.
• Nguyen Xuan-Huynh & Luu Quoc Chien, 2021. "Performance Measurement of Vietnamese Publishing Firms by the Integration of the GM (1,1) Model and the Malmquist Model," Business Systems Research, Sciendo, vol. 12(1), pages 17-33, May.
• Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.
• J. James Reade & Carl Singleton & Alasdair Brown, 2021. "Evaluating strange forecasts: The curious case of football match scorelines," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(2), pages 261-285, May.
  • J. James Reade & Carl Singleton & Alasdair Brown, 2019. "Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines," Economics Discussion Papers em-dp2019-18, Department of Economics, University of Reading, revised 01 Aug 2020.
• BOTOROGA Cosmin-Alin & HOROBET Alexandra & BELASCU Lucian, 2021. "Assessing Market Risk During Financial Crises - An Applicable Method Of Using Value At Risk And Expected Shortfall In Investments," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 73(3), pages 51-74, October.
• Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2020. "On the origin of systemic risk," Working Paper Series 2502, European Central Bank.
  • Mattia Montagna & Gabriele Torri & Giovanni Covi, 2021. "On the origin of systemic risk," Bank of England working papers 906, Bank of England.
• David Murphy & Nicholas Vause, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
• Panagiotis Lazaris & Anastasios Petropoulos & Vasileios Siakoulis & Evangelos Stavroulakis & Nikolaos Vlachogiannakis, 2021. "Interest rate pass through in the deposit and loan products provided by Greek banks," Working Papers 287, Bank of Greece.
• Chang Carolyn W. & Feng Yalan, 2021. "Hurricane Bond Price Dependency on Underlying Hurricane Parameters," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 15(1), pages 1-21, January.
• Tripathi Manas & Kumar Saurabh & Inani Sarveshwar Kumar, 2021. "Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 43-71, January.
• Otilia P. MANTA, 2021. "The Impact Of Population Financial Indicators On The National Economy," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 6(4), pages 49-59.
• Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics 2179, Faculty of Economics, University of Cambridge.
• Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
• Nenad Milojević & Srdjan Redzepagic, 2021. "Prospects of Artificial Intelligence and Machine Learning Application in Banking Risk Management," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 41-57.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," CEP Discussion Papers dp1789, Centre for Economic Performance, LSE.
  • Baker, Scott R. & Bloom, Nicholas & Davis, Steven J. & Sammo, Marco C., 2021. "What triggers stock market jumps?," LSE Research Online Documents on Economics 113913, London School of Economics and Political Science, LSE Library.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," POID Working Papers 010, Centre for Economic Performance, LSE.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," POID Working Papers 010, Centre for Economic Performance, LSE.
  • Baker, Scott R. & Bloom, Nicholas & Davis, Steven J. & Sammo, Marco C., 2021. "What triggers stock market jumps?," LSE Research Online Documents on Economics 113913, London School of Economics and Political Science, LSE Library.
  • Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021. "What triggers stock market jumps?," CEP Discussion Papers dp1789, Centre for Economic Performance, LSE.
• Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
• Alexander Wehrli & Didier Sornette, 2021. "Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process," Swiss Finance Institute Research Paper Series 21-35, Swiss Finance Institute.
• Davide Cividino & Rebecca Westphal & Didier Sornette, 2021. "Multi-asset financial bubbles in an agent-based model with noise traders’ herding described by an n-vector Ising model," Swiss Finance Institute Research Paper Series 21-76, Swiss Finance Institute.
• Dongshuai Zhao, CFA & Didier Sornette, 2021. "Bubbles for Fama from Sornette," Swiss Finance Institute Research Paper Series 21-94, Swiss Finance Institute.
• Damir Filipović & Amir Khalilzadeh, 2021. "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series 21-95, Swiss Finance Institute.
• Yannick Malevergne & Didier Sornette & Ran Wei, 2025. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Quantitative Finance, Taylor & Francis Journals, vol. 25(4), pages 591-616, April.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2021. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series 21-96, Swiss Finance Institute.
  • Yannick Malevergne & Didier Sornette & Ran Wei, 2023. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Working Papers hal-04012267, HAL.
• Christian Urom & Gideon Ndubuisi & Jude Ozor, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, CEPII research center, issue 165, pages 51-66.
• Olivier Dessaint & Thierry Foucault & Laurent Fresard, 2024. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," Journal of Finance, American Finance Association, vol. 79(3), pages 2237-2287, June.
  • Foucault, Thierry & Frésard, Laurent, 2021. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," CEPR Discussion Papers 15786, C.E.P.R. Discussion Papers.
• Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
  • , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
• Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
  • Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
• Doan, Minh Phuong & Sercu, Piet, 2021. "Merging One's Way to the Top: AB Inbev versus Heineken," Journal of Wine Economics, Cambridge University Press, vol. 16(1), pages 32-55, February.
• Ali Trabelsi Karoui & Aida Kammoun, 2021. "Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 89-106.
• Ikhlaas Gurrib & Firuz Kamalov & Elgilani Elshareif, 2021. "Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 41-51.
• Evaristo Navarro Manotas & Remedios Pitre Redondo & Janeka L pez Contreras & Meredith Jim nez Cardenas & Hugo Hernandez Palma, 2021. "Renewable Energies and their Advantages for the Sustainability of Companies in the Health Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 531-537.
• Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021. "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 489-502.
• Prasad, Mason & Bakry, Walid & Varua, Maria Estela, 2021. "Abnormal volatility in seasoned equity offerings during economic disruptions," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
• Filiz, Ibrahim & Judek, Jan René & Lorenz, Marco & Spiwoks, Markus, 2021. "Reducing algorithm aversion through experience," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
• Bao, Te & Hommes, Cars & Pei, Jiaoying, 2021. "Expectation formation in finance and macroeconomics: A review of new experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
• Amini, Shahram & Elmore, Ryan & Öztekin, Özde & Strauss, Jack, 2021. "Can machines learn capital structure dynamics?," Journal of Corporate Finance, Elsevier, vol. 70(C).
• Georges, Christophre & Pereira, Javier, 2021. "Market stability with machine learning agents," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
• Bianchi, Daniele, 2021. "Adaptive expectations and commodity risk premiums," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
• Nyman, Rickard & Kapadia, Sujit & Tuckett, David, 2021. "News and narratives in financial systems: Exploiting big data for systemic risk assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  • Nyman, Rickard & Kapadia, Sujit & Tuckett, David & Gregory, David & Ormerod, Paul & Smith, Robert, 2018. "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers 704, Bank of England.
• Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
• Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
• Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
• Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
• Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
• Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
• Shu, Min & Song, Ruiqiang & Zhu, Wei, 2021. "The ‘COVID’ crash of the 2020 U.S. Stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Chen, Zilin & Gang, Jianhua & Qian, Zongxin, 2021. "Stock returns and carry trades," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021. "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Qiu, Yue, 2021. "Complete subset least squares support vector regression," Economics Letters, Elsevier, vol. 200(C).
• Gross, Christian & Jarmuzek, Mariusz & Pancaro, Cosimo, 2021. "Macro-stress testing dividend income. Evidence from euro area banks," Economics Letters, Elsevier, vol. 201(C).
• Akyildirim, Erdinc & Aysan, Ahmet Faruk & Cepni, Oguzhan & Darendeli, S. Pinar Ceyhan, 2021. "Do investor sentiments drive cryptocurrency prices?," Economics Letters, Elsevier, vol. 206(C).
• Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
• Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  • Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  • Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
  • Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
• Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
• Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  • Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi, 2020. "Forecasting Stock Returns with Large Dimensional Factor Models," Working Papers 305661169, Lancaster University Management School, Economics Department.
• Calice, Giovanni & Lin, Ming-Tsung, 2021. "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 294-322.
• Ewald, Christian & Zou, Yihan, 2021. "Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 37-52.
• Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
• Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
• Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
• Ladokhin, Sergiy & Borovkova, Svetlana, 2021. "Three-factor commodity forward curve model and its joint P and Q dynamics," Energy Economics, Elsevier, vol. 101(C).
• Patra, Saswat, 2021. "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, vol. 101(C).
• Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
  • Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 29 May 2019.
• Iyke, Bernard Njindan & Tran, Vuong Thao & Narayan, Paresh Kumar, 2021. "Can energy security predict energy stock returns?," Energy Economics, Elsevier, vol. 94(C).
• Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
• Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2021. "Predicting corporate carbon footprints for climate finance risk analyses: A machine learning approach," Energy Economics, Elsevier, vol. 95(C).
• He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
• Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
• Lartey, Theophilus & James, Gregory A. & Danso, Albert, 2021. "Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
• Li, Chunyu & Lou, Chenxin & Luo, Dan & Xing, Kai, 2021. "Chinese corporate distress prediction using LASSO: The role of earnings management," International Review of Financial Analysis, Elsevier, vol. 76(C).
• Vigo Pereira, Caio, 2021. "Portfolio efficiency with high-dimensional data as conditioning information," International Review of Financial Analysis, Elsevier, vol. 77(C).
  • Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
• Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
• Doan, Minh Phuong & Sercu, Piet, 2021. "Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions," International Review of Financial Analysis, Elsevier, vol. 77(C).
• Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
• Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
• Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  • Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
• González-Sánchez, Mariano, 2021. "Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets," Finance Research Letters, Elsevier, vol. 38(C).
• Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
• Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
• Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
  • Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers 201967, University of Pretoria, Department of Economics.
• Kinateder, Harald & Papavassiliou, Vassilios G., 2021. "Calendar effects in Bitcoin returns and volatility," Finance Research Letters, Elsevier, vol. 38(C).
• Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
• Bonato, Matteo & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "A note on investor happiness and the predictability of realized volatility of gold," Finance Research Letters, Elsevier, vol. 39(C).
  • Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers 202004, University of Pretoria, Department of Economics.
• Kladívko, Kamil & Österholm, Pär, 2021. "Do market participants’ forecasts of financial variables outperform the random-walk benchmark?," Finance Research Letters, Elsevier, vol. 40(C).
  • Kladivko, Kamil & Österholm, Pär, 2019. "Market Participants’ Forecasts of Financial Variables – Can Survey Data Outperform the Random Walk?," Working Papers 2019:10, Örebro University, School of Business.
• Apergis, Nicholas & Koutmos, Dimitrios & Payne, James E., 2021. "Convergence in cryptocurrency prices? the role of market microstructure," Finance Research Letters, Elsevier, vol. 40(C).
• Madan, Dilip B. & Wang, King, 2021. "The structure of financial returns," Finance Research Letters, Elsevier, vol. 40(C).
• Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
• Iyke, Bernard Njindan & Ho, Sin-Yu, 2021. "Stock return predictability over four centuries: The role of commodity returns," Finance Research Letters, Elsevier, vol. 40(C).
• Taussig, Roi D., 2021. "Competition risk and expected stock returns," Finance Research Letters, Elsevier, vol. 41(C).
• Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
• Bouri, Elie & Gupta, Rangan & Majumdar, Anandamayee & Subramaniam, Sowmya, 2021. "Time-varying risk aversion and forecastability of the US term structure of interest rates," Finance Research Letters, Elsevier, vol. 42(C).
  • Elie Bouri & Rangan Gupta & Anandamayee Majumdar & Sowmya Subramaniam, 2020. "Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates," Working Papers 202098, University of Pretoria, Department of Economics.
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
• Guidolin, Massimo & Pedio, Manuela, 2021. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, vol. 42(C).
  • Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  • Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper 104504, University Library of Munich, Germany.
  • John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
• Umar, Zaghum & Riaz, Yasir & Zaremba, Adam, 2021. "Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020," Finance Research Letters, Elsevier, vol. 43(C).
• Hou, Tony Chieh-Tse & Gao, Simon, 2021. "The impact of economic freedom on financial analysts' earnings forecast: Evidence from the Asia-Pacific region," Finance Research Letters, Elsevier, vol. 43(C).
• Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
• Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
• Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021. "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
• Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2021. "CoMap: Mapping Contagion in the Euro Area Banking Sector," Journal of Financial Stability, Elsevier, vol. 53(C).
  • Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2019. "CoMap: mapping contagion in the euro area banking sector," Working Paper Series 2224, European Central Bank.
  • Mehmet Ziya Gorpe & Giovanni Covi & Christoffer Kok, 2019. "CoMap: Mapping Contagion in the Euro Area Banking Sector," IMF Working Papers 2019/102, International Monetary Fund.
• Baker, H. Kent & Kumar, Satish & Pandey, Nitesh, 2021. "Thirty years of the Global Finance Journal: A bibliometric analysis," Global Finance Journal, Elsevier, vol. 47(C).
• Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
• McGuinness, Paul B., 2021. "Board member age, stock seasoning and the evolution of capital structure in Chinese firms," International Business Review, Elsevier, vol. 30(3).
• Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021. "Identifying indicators of systemic risk," Journal of International Economics, Elsevier, vol. 132(C).
  • Hartwig, Benny & Meinerding, Christoph & Schüler, Yves, 2020. "Identifying indicators of systemic risk," Discussion Papers 33/2020, Deutsche Bundesbank.
• Urom, Christian & Ndubuisi, Gideon & Ozor, Jude, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, Elsevier, vol. 165(C), pages 51-66.
• Adekoya, Oluwasegun B. & Ogunbowale, Gideon O. & Akinseye, Ademola B. & Oduyemi, Gabriel O., 2021. "Improving the predictability of stock returns with global financial cycle and oil price in oil-exporting African countries," International Economics, Elsevier, vol. 168(C), pages 166-181.
• Mamatzakis, Emmanuel C. & Ongena, Steven & Tsionas, Mike G., 2021. "Does alternative finance moderate bank fragility? Evidence from the euro area," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
• Bessler, Wolfgang & Taushanov, Georgi & Wolff, Dominik, 2021. "Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
• Sermpinis, Georgios & Hassanniakalager, Arman & Stasinakis, Charalampos & Psaradellis, Ioannis, 2021. "Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
• Pigini, Claudia, 2021. "Penalized maximum likelihood estimation of logit-based early warning systems," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1156-1172.
  • Claudia Pigini, 2019. "Penalized Maximum Likelihood Estimation Of Logit-Based Early Warning Systems," Working Papers 441, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Çela, Eranda & Hafner, Stephan & Mestel, Roland & Pferschy, Ulrich, 2021. "Mean-variance portfolio optimization based on ordinal information," Journal of Banking & Finance, Elsevier, vol. 122(C).
• Chen, Jingjing & Jiang, George J. & Yuan, Chaowen & Zhu, Dongming, 2021. "Breaking VIX at open: Evidence of uncertainty creation and resolution," Journal of Banking & Finance, Elsevier, vol. 124(C).
• Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
• Anghel, Dan Gabriel, 2021. "Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models," Journal of Banking & Finance, Elsevier, vol. 126(C).
• Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
• John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Kukacka, Jiri & Kristoufek, Ladislav, 2021. "Does parameterization affect the complexity of agent-based models?," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 324-356.
• Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021. "Picking funds with confidence," Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
  • Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
  • Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers, 2017. "Picking Funds with Confidence," CREATES Research Papers 2017-13, Department of Economics and Business Economics, Aarhus University.
• Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
• Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
• Jiang, Hao & Li, Sophia Zhengzi & Wang, Hao, 2021. "Pervasive underreaction: Evidence from high-frequency data," Journal of Financial Economics, Elsevier, vol. 141(2), pages 573-599.
• Sharifkhani, Ali & Simutin, Mikhail, 2021. "Feedback loops in industry trade networks and the term structure of momentum profits," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1171-1187.
• Bond, Philip & Dow, James, 2021. "Failing to forecast rare events," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1001-1016.
• Al Mabsali, Yousuf Khamis & Hayward, Robert & Eliwa, Yasser, 2021. "Managerial tools used to meet or beat analyst forecasts: Evidence from the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 43(C).
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
  • Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020. "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers 29200, University of Essex, Essex Business School.
• Diaz, Elena Maria & Perez-Quiros, Gabriel, 2021. "GEA tracker: A daily indicator of global economic activity," Journal of International Money and Finance, Elsevier, vol. 115(C).
• Consoli, Sergio & Pezzoli, Luca Tiozzo & Tosetti, Elisa, 2021. "Emotions in macroeconomic news and their impact on the European bond market," Journal of International Money and Finance, Elsevier, vol. 118(C).
  • Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021. "Emotions in Macroeconomic News and their Impact on the European Bond Market," Papers 2106.15698, arXiv.org.
• Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2021. "Predictability in commodity markets: Evidence from more than a century," Journal of Commodity Markets, Elsevier, vol. 24(C).
• Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).
• Pincheira, Pablo & Hardy, Nicolás, 2021. "Forecasting aluminum prices with commodity currencies," Resources Policy, Elsevier, vol. 73(C).
  • Pincheira, Pablo & Hardy, Nicolás, 2019. "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper 97005, University Library of Munich, Germany.
• Piccoli, Pedro & de Castro, Jessica, 2021. "Attention-return relation in the gold market and market states," Resources Policy, Elsevier, vol. 74(C).
• Barón, Andrea & Landaberry, María Victoria & Lluberas, Rodrigo & Ponce, Jorge, 2021. "Commercial and banking credit network in Uruguay," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
  • Andrea Barón & María Victoria Landaberry & Rodrigo Lluberas & Jorge Ponce, 2020. "Commercial and banking credit network in Uruguay," Documentos de trabajo 2020006, Banco Central del Uruguay.
• Akyildirim, Erdinc & Sensoy, Ahmet & Gulay, Guzhan & Corbet, Shaen & Salari, Hajar Novin, 2021. "Big data analytics, order imbalance and the predictability of stock returns," Journal of Multinational Financial Management, Elsevier, vol. 62(C).
• Ho, Tu & Lv, Jin Roc & Schultz, Emma, 2021. "Market intraday momentum in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
• Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
• Huang, Yin-Siang & Chuang, Hui-Ching & Hasan, Iftekhar & Lin, Chih-Yung, 2021. "The effect of language on investing: Evidence from searches in Chinese versus English," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
• Umar, Zaghum & Yousaf, Imran & Aharon, David Y., 2021. "The relationship between yield curve components and equity sectorial indices: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
• Chiang, Mi-Hsiu & Chiu, Hsin-Yu & Kuo, Wei-Yu, 2021. "Predictive ability of similarity-based futures trading strategies," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
• Ardila-Alvarez, Diego & Forro, Zalan & Sornette, Didier, 2021. "The acceleration effect and Gamma factor in asset pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
• Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.
• Tissaoui, Kais & Zaghdoudi, Taha, 2021. "Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 481-492.
• Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
• Kim, Hyun-Dong & Park, Kwangwoo & Song, Kyojik Roy, 2021. "Organization capital and analysts’ forecasts," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 762-778.
• Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
• Chen, Shun & Ge, Lei, 2021. "A learning-based strategy for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 936-942.
• Rakovská, Zuzana, 2021. "Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 473-495.
  • Zuzana Rakovska, 2020. "Composite Survey Sentiment as a Predictor of Future Market Returns: Evidence for German Equity Indices," Working Papers 2020/13, Czech National Bank, Research and Statistics Department.
• Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
• Yang, Haijun & Xue, Feng, 2021. "Analysis of stock market volatility: Adjusted VPIN with high-frequency data," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 210-222.
• Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
• Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
• Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
• Ding, Xin & Tan, Wenhao & Kang, Yixuan, 2021. "The spillover effect of regulatory penalties on management and analysts’ earnings forecasts: Empirical evidence based on directors networks in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 502-515.
• Trabelsi, Nader & Gozgor, Giray & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2021. "Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management," Research in International Business and Finance, Elsevier, vol. 55(C).
• Laborda, Ricardo & Olmo, Jose, 2021. "Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
• Duan, Yuejiao & Liu, Lanbiao & Wang, Zhuo, 2021. "COVID-19 Sentiment and the Chinese Stock Market: Evidence from the Official News Media and Sina Weibo," Research in International Business and Finance, Elsevier, vol. 58(C).
• Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.
• Beibei Yan & Özgür Arslan-Ayaydin & James Thewissen & Wouter Torsin, 2021. "Does managerial ability affect disclosure? Evidence from earnings press releases," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 29(2), pages 192-226, February.
• Omar Esqueda & Thanh Ngo & Daphne Wang, 2021. "The information content of managerial insider trading: evidence from analyst forecasts," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 29(3), pages 332-361, June.
• Beibei Yan & Özgür Arslan-Ayaydin & James Thewissen & Wouter Torsin, 2021. "Does managerial ability affect disclosure? Evidence from earnings press releases," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 29(2), pages 192-226, February.
  • Yan, Beibei & Arslan-Ayaydin, Özgür & Thewissen, James & Torsin, Wouter, 2021. "Does managerial ability affect disclosure? Evidence from earnings press releases," LIDAM Reprints LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
• Omar Esqueda & Thanh Ngo & Daphne Wang, 2021. "The information content of managerial insider trading: evidence from analyst forecasts," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 29(3), pages 332-361, June.
• Lu Yang, 2021. "Last hour momentum in the Chinese stock market," China Finance Review International, Emerald Group Publishing Limited, vol. 12(1), pages 69-100, September.
• Lu Yang, 2021. "Last hour momentum in the Chinese stock market," China Finance Review International, Emerald Group Publishing Limited, vol. 12(1), pages 69-100, September.
• Saji Thazhugal Govindan Nair, 2021. "Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 14(2), pages 242-267, June.
• Saji Thazhugal Govindan Nair, 2021. "Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 14(2), pages 242-267, June.
• Mohammad Abdullah, 2021. "The implication of machine learning for financial solvency prediction: an empirical analysis on public listed companies of Bangladesh," Journal of Asian Business and Economic Studies, Emerald Group Publishing Limited, vol. 28(4), pages 303-320, June.
• Ramona Serrano Bautista & José Antonio Núñez Mora, 2021. "Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 26(52), pages 197-221, November.
• Ishay Wolf & Jose Maria Caridad y Ocerin, 2021. "The transition to a multi-pillar pension system: the inherent socio-economic anomaly," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(6), pages 755-771, February.
• Ishay Wolf & Jose Maria Caridad y Ocerin, 2021. "The transition to a multi-pillar pension system: the inherent socio-economic anomaly," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(6), pages 755-771, February.
• Mustapha Ishaq Akinlaso & Aroua Robbana & Nura Mohamed, 2021. "Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, vol. 13(1), pages 98-113, December.
• Ka Shing Cheung & Joshua Lee, 2021. "The effect of sentiment on commercial real estate returns: investor and occupier perspectives," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(6), pages 561-589, January.
• Ka Shing Cheung & Joshua Lee, 2021. "The effect of sentiment on commercial real estate returns: investor and occupier perspectives," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(6), pages 561-589, January.
• Sebastian Schlütter, 2021. "Scenario-based measurement of interest rate risks," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 22(1), pages 56-77, May.
• Sebastian Schlütter, 2021. "Scenario-based measurement of interest rate risks," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 22(1), pages 56-77, May.
• Bei Chen & Quan Gan, 2021. "Measuring gambling activity in options market," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(3), pages 345-378, March.
• Tonmoy Choudhury & Kevin Daly, 2021. "Systemic risk contagion within US states," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 836-860, May.
• Ramiro Bautista Espinosa & Diana Terrazas Santamaría, 2021. "La viabilidad de invertir en almacenamiento de energía solar en México: un enfoque de opciones reales," Serie documentos de trabajo del Centro de Estudios Económicos 2021-09, El Colegio de México, Centro de Estudios Económicos.
• Tunahan Yilmaz, 2021. "Optimal Dynamic Hedging in Selected Markets," International Econometric Review (IER), Econometric Research Association, vol. 13(4), pages 89-117, December.
• Andrzej Geise & Magdalena Kuczmarska & Jarosław Pawlowski, 2021. "Corporate Failure Prediction of Construction Companies in Poland: Evidence from Logit Model," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 99-116.
• Eryka Probierz & Adam Galuszka & Katarzyna Klimczak & Karol Jedrasiak & Tomasz Wisniewski & Tomasz Dzida, 2021. "Financial Sentiment on Twitter's Community and it's Connection to Polish Stock Market Movements in Context of Behavior Modelling," European Research Studies Journal, European Research Studies Journal, vol. 0(4 - Part ), pages 56-65.
• Eryka Probierz & Adam Galuszka & Katarzyna Klimczak & Karol Jedrasiak & Tomasz Wisniewski & Tomasz Dzida, 2021. "Financial Sentiment on Twitter's Community and it's Connection to Polish Stock Market Movements in Context of Behavior Modelling," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 56-65.
• Bartosz Chorkowy & Agnieszka Bobrowska, 2021. "Influence of Pillar 3 of Pension System on Retirement Pensions Level in Poland: Will Voluntary Part of System Enable Decent Life in Old Age?," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 975-988.
• Bartosz Chorkowy & Agnieszka Bobrowska, 2021. "Influence of Pillar 3 of Pension System on Retirement Pensions Level in Poland: Will Voluntary Part of System Enable Decent Life in Old Age?," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 975-988.
• Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Extensions to IVX methods of inference for return predictability," Journal of Econometrics, Elsevier, vol. 237(2).
  • Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
  • Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers 29779, University of Essex, Essex Business School.
• Martin Mandel & Jan Vejmelek, 2021. "Testing the Properties of Financial Analysts’ Predictions of Future Spot Exchange Rates (Example of CZK/EUR)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(1), pages 33-51, June.
• Michal Kuchta, 2021. "Scenario Generation for IFRS9 Purposes using a Bayesian MS-VAR Model," Working Papers IES 2021/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2021.
• Barbora Malinska, 2021. "Forecasting Sovereign Bond Realized Volatility Using Time-Varying Coefficients Model," Working Papers IES 2021/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2021.
• Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
  • Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
• Marcin Dec, 2021. "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers 52, GRAPE Group for Research in Applied Economics.
• Abramov Alexander & Kosyrev Andrey & Radygin Alexander & Chernova Maria, 2021. "Behavior of Private Investors in the Stock Markets of Russia and the US [Поведение Частных Инвесторов На Фондовых Рынках России И Сша]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 54-59, December.
• Abramov Alexander & Kosyrev Andrey & Radygin Alexander & Chernova Maria, 2021. "Поведение Частных Инвесторов На Фондовых Рынках России И Сша," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 12, pages 54-59, December.
• Paul Anglin & Jianxin Cui & Yanmin Gao & Li Zhang, 2021. "Analyst Forecasts during the COVID-19 Pandemic: Evidence from REITs," JRFM, MDPI, vol. 14(10), pages 1-21, September.
• Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
  • Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
• Joana Almeida & Raquel M. Gaspar, 2021. "Accuracy of European Stock Target Prices," JRFM, MDPI, vol. 14(9), pages 1-27, September.
  • Joana Almeida & Raquel M. Gaspar, 2020. "Accuracy of European Stock Target Prices," Working Papers REM 2020/0115, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Rui Pedro Brito & Pedro Alarcão Judice, 2021. "Efficient credit portfolios under IFRS 9," CeBER Working Papers 2021-07, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
• Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  • Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
  • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-04455593, HAL.
• Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet, 2022. "Does the Real Business Cycle Help Forecast the Financial Cycle?," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1529-1546, December.
  • Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet, 2021. "Does the Real Business Cycle Help Forecast the Financial Cycle?," Post-Print hal-04478764, HAL.
• Al-Ansari, Khalid Ahmed & Aysan, Ahmet Faruk, 2021. "More than ten years of Blockchain creation: How did we use the technology and which direction is the research heading?," MPRA Paper 109720, University Library of Munich, Germany.
  • Khalid Ahmed Al-Ansari & Ahmet Faruk Aysan, 2021. "More than ten years of Blockchain creation: How did we use the technology and which direction is the research heading? [Plus de dix ans de création Blockchain : Comment avons-nous utilisé la techno," Working Papers hal-03343048, HAL.
• Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021. "A reality check on the GARCH-MIDAS volatility models," Working Papers 2021:2, Örebro University, School of Business.
• Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
  • Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
• Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2024. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Econometrics and Statistics, Elsevier, vol. 32(C), pages 34-56.
  • Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Shih-Ping Feng, 2021. "The Information Content Of Option Trading And Liquidity Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 15(1), pages 89-98.
• David Conaly Martínez Vázquez & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2021. "Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-21, Enero - M.
• David Conaly Martínez Vázquez & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2021. "Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-21, Enero - M.
• Jaime Alberto Gómez Vilchis & Federico Hernández Álvarez & Luis Ignacio Román de la Sancha, 2021. "Autómata Evolutivo (AE) para el mercado accionario usando Martingalas y un Algoritmo Genético," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-22, Octubre -.
• Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023. "Statistical arbitrage: factor investing approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
  • Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Statistical arbitrage: Factor investing approach," MPRA Paper 105766, University Library of Munich, Germany.
  • Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021. "Statistical Arbitrage: Factor Investing Approach," Working Papers 2021-003, Department of Research, Ipag Business School.
• Juan David Vega Baquero & Miguel Santolino, 2021. ""Too big to fail? An analysis of the Colombian banking system through compositional data"," IREA Working Papers 202111, University of Barcelona, Research Institute of Applied Economics, revised Apr 2021.
• Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021. "A stock market model based on CAPM and market size," Annals of Finance, Springer, vol. 17(3), pages 405-424, September.
• Louie Ren & Peter Ren, 2021. "On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 153-168, June.
• Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou, 2021. "Gold Against the Machine," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 5-28, January.
• Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 29-53, January.
  • Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Working Papers 202003, University of Pretoria, Department of Economics.
• Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
• Julien Chevallier & Bangzhu Zhu & Lyuyuan Zhang, 2021. "Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 537-575, February.
• Daniel Hofmann & Karl Ludwig Keiber, 2021. "Seasonalities in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 151-192, June.
• Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
  • Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.
• Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.
• Lu Zhang & Yuan George Shan & Millicent Chang, 2021. "Can CSR Disclosure Protect Firm Reputation During Financial Restatements?," Journal of Business Ethics, Springer, vol. 173(1), pages 157-184, September.
• Ryan G. Chacon & Dan W. French & Kuntara Pukthuanthong, 2021. "The Information Content of NAV Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 598-629, November.
• Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
• A. Hachicha & F. Hachicha, 2021. "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 647-673, February.
• Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 849-889, April.
• Kim Kaivanto & Peng Zhang, 2021. "Is Business Formation Driven by Sentiment or Fundamentals?," Working Papers 332157433, Lancaster University Management School, Economics Department.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
  • Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
• Andreï Kostyrka & Dmitry Igorevich Malakhov,, 2021. "The good, the bad, and the asymmetric: Evidence from a new conditional density model," DEM Discussion Paper Series 21-09, Department of Economics at the University of Luxembourg.
• Feghhi Kashani , Mohammad & Mohebimajd , Ahmadreza, 2021. "Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 253-282, June.
• Theologos Dergiades & Panos K. Pouliasis, 2023. "Should stock returns predictability be ‘hooked on’ long‐horizon regressions?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 718-732, January.
  • Theologos Dergiades & Panos K. Pouliasis, 2021. "Should Stock Returns Predictability be hooked on Long Horizon Regressions?," Discussion Paper Series 2021_03, Department of Economics, University of Macedonia, revised Feb 2021.
• João Frois Caldeira & Rangan Gupta & Muhammad Tahir Suleman & Hudson S. Torrent, 2021. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4312-4329, December.
  • Joao F. Caldeira & Rangan Gupta & Tahir Suleman & Hudson S. Torrent, 2019. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Working Papers 201911, University of Pretoria, Department of Economics.

2020

• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2020. "Forecasting the US Dollar-Korean Won Exchange Rate: A Factor-Augmented Model Approach," Auburn Economics Working Paper Series auwp2020-02, Department of Economics, Auburn University.
• Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
  • Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
• Mhamed-Ali El-Aroui & Wafa Snoussi, 2020. "Value-at-Risk in Frontier Markets: Adapted Models and Evidences from Two North-African Stock Exchanges," The African Finance Journal, Africagrowth Institute, vol. 22(1), pages 1-20.
• Bogdan Cosmin GOMOI, 2020. "Study Regarding the Budgeting of an Economic Entity’s Cash Flow in the Context of the Accrual Accounting System," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(11), pages 23-35, November.
• Horia CRISTEA & Claudiu BOȚOC, 2020. "The Effects of Indebting the Entity as a Result of Choosing Long Term Financing," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(4), pages 38-45, April.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "The Time Value of Money," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(6), pages 38-42, June.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(8), pages 41-44, August.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(7), pages 39-47, July.
• Bogdan Cosmin GOMOI & Natalia Ioana PANTELIMON, 2020. "Comparative Analysis Regarding the Financial and Financing Structure of Limited Liability Companies," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(8), pages 30-40, August.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(7), pages 39-47, July.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(8), pages 41-44, August.
• Horia CRISTEA & Claudiu BOȚOC, 2020. "The Effects of Indebting the Entity as a Result of Choosing Long Term Financing," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 0(4), pages 38-45, April.
• Ayesha Haroon & Mumtaz Ahmed, 2020. "Change Management and Risk Assessment in IT Industry," Pakistan Journal of Economic Studies, Department of Economics, The Islamia University of Bahawalpur, Pakistan., vol. 3(2), pages 123-147, December.
• Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
  • Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Farmer, J Doyne & Kleinnijenhuis, Alissa M & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers 861, Bank of England.
  • Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
• Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  • Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Predicting tail events in a RIA-EVT-Copula framework," Papers 2004.03190, arXiv.org, revised Apr 2020.
• Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020. "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive 2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  • Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
• Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  • Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
  • Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 99918, University Library of Munich, Germany.
• Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
  • Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022. "Can Volatility Solve the Naive Portfolio Puzzle?," Villanova School of Business Department of Economics and Statistics Working Paper Series 52, Villanova School of Business Department of Economics and Statistics.
• Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
  • Victor Olkhov, 2020. "Volatility Depends on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org, revised Jun 2024.
• Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
• Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2023. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202302, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
• Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  • Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper 104504, University Library of Munich, Germany.
  • John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
• Vu Ngoc Nguyen & Dat Thanh Nguyen, 2020. "Can Crude Oil Price be a Predictor of Stock Index Return? Evidence from Vietnamese Stock Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(1), pages 13-21, January.
• Wajeeh Mustafa Sarsour & Shamsul Rijal Muhammad Sabri, 2020. "A Simulation Study: Obtaining a Sufficient Sample Size of Discrete-Time Markov Chains of Investment in a Short Frequency of Time," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(8), pages 906-919, August.
• William Sucuahi & Eugene Bije, 2020. "Modeling Long-Term Relationships in Philippine Stock Market (PSE) Indices: A Cointegration Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(9), pages 989-998, September.
• Muhammad Uzair Ali & Nawaz Ahmad, 2020. "Selected Macro-Economic Variables and Financial Leverages Impact on Performance Indicators of Quoted Chemical Firms in PSX," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 10(1), pages 80-89, June.
• César Omar López à vila & Norma Pontet Ubal, 2020. "Complementary break-even point with economic value added," Documentos de Investigación 128, Universidad ORT Uruguay. Facultad de Administración y Ciencias Sociales.
• Guidolin, Massimo & Pedio, Manuela, 2021. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, vol. 42(C).
  • Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Nataliya Vnukova & Sergii Kavun & Oleh Kolodiziev & Svitlana Achkasova & Daria Hontar, 2020. "Indicators-Markers for Assessment of Probability of Insurance Companies Relatedness in Implementation of Risk-Oriented Approach," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 151-173.
• Alejandro García & Bena Lands & Xuezhi Liu & Joshua Slive, 2020. "The potential effect of a central bank digital currency on deposit funding in Canada," Staff Analytical Notes 2020-15, Bank of Canada.
• Andrés Alonso & José Manuel Carbó, 2020. "Machine learning in credit risk: measuring the dilemma between prediction and supervisory cost," Working Papers 2032, Banco de España.
• Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020. "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 67-94, October –.
• Salim Sercan SARI & Þule Yüksel YÝÐÝTER, 2020. "Borsa Istanbul Hisse Senedi Getirilerinin ANFIS Aracýlýðýyla Tahmin Edilmesi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 4(1), pages 171-193, August.
• Ingo Fender & Mike McMorrow & Vahe Sahakyan & Omar Zulaica, 2020. "Reserve management and sustainability: the case for green bonds?," BIS Working Papers 849, Bank for International Settlements.
• Omar Zulaica, 2020. "What share for gold? On the interaction of gold and foreign exchange reserve returns," BIS Working Papers 906, Bank for International Settlements.
• Juselius, Mikael & Tarashev, Nikola A., 2020. "Forecasting expected and unexpected losses," Bank of Finland Research Discussion Papers 18/2020, Bank of Finland.
  • Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
• Kresta Aleš & Wang Anlan, 2020. "Portfolio Optimization Efficiency Test Considering Data Snooping Bias," Business Systems Research, Sciendo, vol. 11(2), pages 73-85, October.
• Ramis Khabibullin & Alexey Ponomarenko, 2022. "An empirical behavioral model of household’s deposit dollarization," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 827-847, July.
  • Ramis Khabibullin & Alexey Ponomarenko, 2020. "An empirical behavioral model of households’ deposit dollarization," Bank of Russia Working Paper Series wps67, Bank of Russia.
• Barón, Andrea & Landaberry, María Victoria & Lluberas, Rodrigo & Ponce, Jorge, 2021. "Commercial and banking credit network in Uruguay," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
  • Andrea Barón & María Victoria Landaberry & Rodrigo Lluberas & Jorge Ponce, 2020. "Commercial and banking credit network in Uruguay," Documentos de trabajo 2020006, Banco Central del Uruguay.
• Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
  • J Doyne Farmer & Alissa M Kleinnijenhuis & Paul Nahai-Williamson & Thom Wetzer, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers 861, Bank of England.
• Jurkatis, Simon, 2022. "Inferring trade directions in fast markets," Journal of Financial Markets, Elsevier, vol. 58(C).
  • Simon Jurkatis, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Research Discussion Papers 2/2020, Bank of Finland.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Research Discussion Papers 6/2020, Bank of Finland.
• Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
  • Juselius, Mikael & Tarashev, Nikola, 2020. "Forecasting expected and unexpected losses," Research Discussion Papers 18/2020, Bank of Finland.
• Hyeongwoo Kim & Soohyon Kim, 2020. "Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate," Working Papers 2020-5, Economic Research Institute, Bank of Korea.
• Avdoulas Christos & Bekiros Stelios & Lucey Brian, 2020. "The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-23, September.
• Zhu Fumin & Bianchi Michele Leonardo & Kim Young Shin & Fabozzi Frank J. & Wu Hengyu, 2020. "Learning for infinitely divisible GARCH models in option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(3), pages 35-62, June.
• Rice, Jonathan, 2020. "Economic Policy Uncertainty in Small Open Economies: a Case Study in Ireland," Research Technical Papers 01/RT/20, Central Bank of Ireland.
• Bikramaditya Ghosh & Krishna MC, 2020. "Econophysical bourse volatility – Global Evidence," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 87-107.
• Ron Gecan, 2020. "CBO's Oil Price Forecasting Record: Working Paper 2020-03," Working Papers 56356, Congressional Budget Office.
• Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
  • Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
  • Roberto Marfe & Julien Penasse, 2024. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 715 JEL Classification: E, Collegio Carlo Alberto.
• Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
  • Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
  • Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2020. "The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX," CESifo Working Paper Series 8196, CESifo.
• Christian Fieberg & Lars Hornuf & Gerrit Liedtke & Thorsten Poddig, 2020. "Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis," CESifo Working Paper Series 8377, CESifo.
• Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
  • Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.
• Guglielmo Maria Caporale & Alex Plastun, . "Abnormal returns and stock price movements: some evidence from developed and emerging markets," Journal of Investment Strategies, Journal of Investment Strategies.
  • Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.
• Oksana Bashchenko & Alexis Marchal, 2020. "Deep Learning, Jumps, and Volatility Bursts," Swiss Finance Institute Research Paper Series 20-10, Swiss Finance Institute.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Working Papers hal-03031876, HAL.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Swiss Finance Institute Research Paper Series 20-106, Swiss Finance Institute.
  • Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," HEC Research Papers Series 1402, HEC Paris.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020. "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series 20-119, Swiss Finance Institute.
• Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
• Jillian Grennan & Roni Michaely, 2020. "Artificial Intelligence and High-Skilled Work: Evidence from Analysts," Swiss Finance Institute Research Paper Series 20-84, Swiss Finance Institute.
• J-C Gerlach & Jerome L Kreuser & Didier Sornette, 2020. "Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices," Swiss Finance Institute Research Paper Series 20-85, Swiss Finance Institute.
• Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  • Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020. "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series 20-86, Swiss Finance Institute.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers halshs-02893291, HAL.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 20-27, Chapman University, Economic Science Institute.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 2020, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
• Rakovská, Zuzana, 2021. "Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 473-495.
  • Zuzana Rakovska, 2020. "Composite Survey Sentiment as a Predictor of Future Market Returns: Evidence for German Equity Indices," Working Papers 2020/13, Czech National Bank, Research and Statistics Department.
• Oscar Valdemar de la Torre-Torres & Luis Guadalupe Mac�as-Trejo & Francisco L�pez-Herrera, 2020. "La eficiencia media-varianza de un portafolio sobreponderado en acciones socialmente responsables de México y Estados Unidos," Estudios Gerenciales, Universidad Icesi, vol. 36(154), pages 91-99.
• Diego Andrés Correa-Mejía & Mauricio Lopera-Casta�o, 2020. "Financial ratios as a powerful instrument to predict insolvency; a study using boosting algorithms in Colombian firms," Estudios Gerenciales, Universidad Icesi, vol. 36(155), pages 229-238.
• Pablo Aguilar & Samuel Hurtado & Stephan Fahr & Eddie Gerba, 2019. "Quest for robust optimal macroprudential policy," Working Papers 1916, Banco de España.
  • Aguilar, Pablo & Fahr, Stephan & Gerba, Eddie & Hurtado, Samuel, 2020. "Quest for Robust Optimal Macroprudential Policy," Dynare Working Papers 53, CEPREMAP.
• Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
• Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
  • Bartram, Söhnke & Branke, Jürgen & Motahari, Mehrshad, 2020. "Artificial Intelligence in Asset Management," CEPR Discussion Papers 14525, C.E.P.R. Discussion Papers.
• Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
• Diaz, Elena Maria & Pérez Quirós, Gabriel, 2020. "Daily tracker of global economic activity: a close-up of the COVID-19 pandemic," Working Paper Series 2505, European Central Bank.
  • Pérez-Quirós, Gabriel & Diaz, Elena, 2020. "Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic," CEPR Discussion Papers 15451, C.E.P.R. Discussion Papers.
• Nieto Delfin, Maria Rosa & Ruiz Ortega, Esther, 2020. "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS 30349, Universidad Carlos III de Madrid. Departamento de Estadística.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Working Papers hal-03031876, HAL.
  • Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," HEC Research Papers Series 1402, HEC Paris.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Swiss Finance Institute Research Paper Series 20-106, Swiss Finance Institute.
• Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
• Gräb, Johannes & Titzck, Stephanie, 2020. "US yield curve inversion and financial market signals of recession," Economic Bulletin Boxes, European Central Bank, vol. 1.
• Borsuk, Marcin & Budnik, Katarzyna & Volk, Matjaz, 2020. "Buffer use and lending impact," Macroprudential Bulletin, European Central Bank, vol. 11.
• Lang, Jan Hannes & Forletta, Marco, 2020. "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series 2405, European Central Bank.
• Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2020. "On the origin of systemic risk," Working Paper Series 2502, European Central Bank.
  • Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2021. "On the origin of systemic risk," Bank of England working papers 906, Bank of England.
• Pérez-Quirós, Gabriel & Diaz, Elena, 2020. "Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic," CEPR Discussion Papers 15451, C.E.P.R. Discussion Papers.
  • Diaz, Elena Maria & Pérez Quirós, Gabriel, 2020. "Daily tracker of global economic activity: a close-up of the COVID-19 pandemic," Working Paper Series 2505, European Central Bank.
• Karnaukh, Nina, 2020. "Growth Forecasts and News about Monetary Policy," Working Paper Series 2020-27, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Chia-Cheng Chen & Chun-Hung Chen & Ting-Yin Liu, 2020. "Investment Performance of Machine Learning: Analysis of S&P 500 Index," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 59-66.
• Hatice Erkekoglu & Aweng Peter Majok Garang & Adire Simon Deng, 2020. "Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions," International Journal of Economics and Financial Issues, Econjournals, vol. 10(2), pages 268-281.
• Rim Ammar Lamouchi, 2020. "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 29-34.
• Shailesh Rana & William H. Bommer & G. Michael Phillips, 2020. "Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 88-106.
• Hugo Hernandez Palma & William Alejandro Niebles, 2020. "Financial Evaluation of Photovoltaic Energy Projects in Colombia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 225-228.
• Hugo Hernandez Palma & Kennedy Hurtado Ibarra, 2020. "Evaluation of Photovoltaic Energy Projects using the Real Options Valuation," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 256-265.
• Pagach, Donald P. & Warr, Richard S., 2020. "Analysts versus time-series forecasts of quarterly earnings: A maintained hypothesis revisited," Advances in accounting, Elsevier, vol. 51(C).
• Uddin, Ajim & Yu, Dantong, 2020. "Latent factor model for asset pricing," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
• Łukowski, Michał & Gemra, Kamil & Maruszewski, Janusz & Śliwiński, Paweł & Zygmanowski, Piotr, 2020. "Equity premium puzzle — Evidence from Poland," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
• Sherif, Mohamed, 2020. "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
• Yuan, Ying & Zhang, Tonghui, 2020. "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
• Yang, Jun & Lu, Jing & Xiang, Cheng, 2020. "Do disclosures of selective access improve market information acquisition fairness? Evidence from company visits in China," Journal of Corporate Finance, Elsevier, vol. 64(C).
• Cowan, Arnold R. & Salotti, Valentina, 2020. "Anti-selective disclosure regulation and analyst forecast accuracy and usefulness," Journal of Corporate Finance, Elsevier, vol. 64(C).
• Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  • Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020. "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series 20-86, Swiss Finance Institute.
• Kukacka, Jiri & Kristoufek, Ladislav, 2020. "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
• Oldham, Matthew, 2020. "Quantifying the concerns of Dimon and Buffett with data and computation," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
• Schnaubelt, Matthias & Fischer, Thomas G. & Krauss, Christopher, 2020. "Separating the signal from the noise – Financial machine learning for Twitter," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
• Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
• Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
• Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Nguyen, Sang Phu & Duong, Duy, 2020. "An assessment of contagion risks in the banking system using non-parametric and Copula approaches," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 105-116.
• Wiafe, Osei K. & Basu, Anup K. & Chen, En Te, 2020. "Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 241-255.
• Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
  • Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Post-Print hal-02512423, HAL.
• Sha, Yezhou, 2020. "The devil in the style: Mutual fund style drift, performance and common risk factors," Economic Modelling, Elsevier, vol. 86(C), pages 264-273.
• Hussain Shahzad, Syed Jawad & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2020. "Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin," Economic Modelling, Elsevier, vol. 87(C), pages 212-224.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2020. "Improving forecast accuracy of financial vulnerability: PLS factor model approach," Economic Modelling, Elsevier, vol. 88(C), pages 341-355.
  • Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Ko, Kyunghwan, 2018. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper 89449, University Library of Munich, Germany.
• Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
• Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
• Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
• Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
• Wu, Xinyu & Hou, Xinmeng, 2020. "Forecasting volatility with component conditional autoregressive range model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
• Dong, Dayong & Yue, Sishi & Cao, Jiawei, 2020. "Site visit information content and return predictability: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
• Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020. "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Wang, Jiexin & Han, Xue & Huang, Emily J. & Yost-Bremm, Chris, 2020. "Predictability in international stock returns using currency fluctuations and forward rate forecasts," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Dey, Shubhasis & Sampath, Aravind, 2020. "Returns, volatility and spillover – A paradigm shift in India?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Wang, Janchung & Yeh, Shih-Kuo & Wang, Bo-Ting, 2020. "The effect of short-sale restrictions on the information transmission of extended index futures trading," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
• Zhang, Xiang, 2020. "Leisure and long-run risks: An empirical evaluation on value premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• Loginov, Alexander & Heywood, Malcolm, 2020. "On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• Sharma, Prateek & Paul, Samit & Sharma, Swati, 2020. "What’s in a name? A lot if it has “blockchain”," Economics Letters, Elsevier, vol. 186(C).
• Karlsson, Sune & Österholm, Pär, 2020. "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, vol. 186(C).
  • Karlsson, Sune & Österholm, Pär, 2019. "The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?," Working Papers 2019:7, Örebro University, School of Business.
• Cretarola, Alessandra & Figà-Talamanca, Gianna, 2020. "Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics," Economics Letters, Elsevier, vol. 191(C).
• Tsang, Kwok Ping & Yang, Zichao, 2020. "Price dispersion in bitcoin exchanges," Economics Letters, Elsevier, vol. 194(C).
• Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
• Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
• Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020. "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
• Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
• Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
• Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
  • Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018. "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers 2018-36, Department of Economics and Business Economics, Aarhus University.
• Nguyen, Linh Hoang & Chevapatrakul, Thanaset & Yao, Kai, 2020. "Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 333-355.
• Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
  • Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
• Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
• Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020. "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, vol. 86(C).
• Koten, Silvester Van, 2020. "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, vol. 89(C).
• Ma, Xiaohan & Samaniego, Roberto, 2020. "The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts," Energy Economics, Elsevier, vol. 90(C).
• Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020. "Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  • Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
• Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
• Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
• Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020. "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 71(C).
• Umutlu, Mehmet & Bengitöz, Pelin, 2020. "The cross-section of industry equity returns and global tactical asset allocation across regions and industries," International Review of Financial Analysis, Elsevier, vol. 72(C).
• Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020. "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, vol. 32(C).
• Verdickt, Gertjan, 2020. "Is fertility a leading indicator for stock returns?," Finance Research Letters, Elsevier, vol. 33(C).
• Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
  • Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019. "Time-Varying Risk Aversion and the Predictability of Bond Premia," Working Papers 201906, University of Pretoria, Department of Economics.
• Reus, Lorenzo & Carrasco, José A. & Pincheira, Pablo, 2020. "Do it with a smile: Forecasting volatility with currency options," Finance Research Letters, Elsevier, vol. 34(C).
• Wu, Xinyu & Wang, Xiaona, 2020. "Forecasting volatility using realized stochastic volatility model with time-varying leverage effect," Finance Research Letters, Elsevier, vol. 34(C).
• González-Fernández, Marcos & González-Velasco, Carmen, 2020. "An alternative approach to predicting bank credit risk in Europe with Google data," Finance Research Letters, Elsevier, vol. 35(C).
• Long, Huaigang & Zaremba, Adam & Demir, Ender & Szczygielski, Jan Jakub & Vasenin, Mikhail, 2020. "Seasonality in the Cross-Section of Cryptocurrency Returns," Finance Research Letters, Elsevier, vol. 35(C).
• Pincheira-Brown, Pablo & Neumann, Federico, 2020. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, vol. 37(C).
  • Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
• Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
• Pham, Mia Hang, 2020. "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, vol. 50(C).
• Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  • Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  • Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
• Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).
• Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
• Chau, Michael & Lin, Chih-Yung & Lin, Tse-Chun, 2020. "Wisdom of crowds before the 2007–2009 global financial crisis," Journal of Financial Stability, Elsevier, vol. 48(C).
• Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).
  • Paul H. Kupiec, 2019. "Policy uncertainty and bank stress testing," AEI Economics Working Papers 1022739, American Enterprise Institute.
• Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
• Gerrard, Russell & Hiabu, Munir & Nielsen, Jens Perch & Vodička, Peter, 2020. "Long-term real dynamic investment planning," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 90-103.
• Bales, Kyle & Malikane, Christopher, 2020. "The effect of credit ratings on emerging market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
• Xuan, Chunji & Kim, Chang-Jin, 2020. "Structural breaks in the mean of dividend-price ratios: Implications of learning on stock return predictability," Japan and the World Economy, Elsevier, vol. 55(C).
• Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020. "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
  • Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
  • Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Beta uncertainty," Journal of Banking & Finance, Elsevier, vol. 116(C).
• You, Yu & Liu, Xiaochun, 2020. "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach," Journal of Banking & Finance, Elsevier, vol. 116(C).
• León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
• Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020. "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 118(C).
• Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
• Wang, Zhen & Sun, Lei & John Wei, K.C., 2020. "Does competition induce analyst effort? evidence from a natural experiment of broker mergers," Journal of Banking & Finance, Elsevier, vol. 119(C).
• Hollstein, Fabian, 2020. "Estimating beta: The international evidence," Journal of Banking & Finance, Elsevier, vol. 121(C).
• Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.
• Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
• Ma, Chao, 2020. "Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?," Journal of Housing Economics, Elsevier, vol. 49(C).
• Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  • Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
• Beckmann, Joscha & Reitz, Stefan, 2020. "Information rigidities and exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 105(C).
  • Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
• Huang, Kelly, 2020. "Management forecast errors and corporate investment efficiency," Journal of Contemporary Accounting and Economics, Elsevier, vol. 16(3).
• Dichtl, Hubert, 2020. "Forecasting excess returns of the gold market: Can we learn from stock market predictions?," Journal of Commodity Markets, Elsevier, vol. 19(C).
• Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020. "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, vol. 20(C).
• Lakshina, Valeriya, 2020. "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
• Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A., 2020. "The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
• Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 65(C).
• Ashraf, Sumaira & Félix, Elisabete G.S. & Serrasqueiro, Zélia, 2020. "Development and testing of an augmented distress prediction model: A comparative study on a developed and an emerging market," Journal of Multinational Financial Management, Elsevier, vol. 57.
• Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
• Chae, Joon & Kim, Ryumi, 2020. "Contrarian profits of the firm-specific component on stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
• Lo, Huai-Chun & Koedijk, Kees G. & Gao, Xiang & Hsu, Yuan-Teng, 2020. "How do job vacancy rates predict firm performance? A web crawling massive data perspective," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
• Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020. "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
• Jiang, Minqi & Liu, Jiapeng & Zhang, Lu & Liu, Chunyu, 2020. "An improved Stacking framework for stock index prediction by leveraging tree-based ensemble models and deep learning algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
• Caginalp, Gunduz & DeSantis, Mark, 2020. "Nonlinear price dynamics of S&P 100 stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
• Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2020. "Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 156-164.
• Moreira, Afonso M. & Martins, Luis F., 2020. "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 199-221.
• González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
• Virgilio, Gianluca Piero Maria, 2020. "When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment," Research in International Business and Finance, Elsevier, vol. 51(C).
• Huynh, Toan Luu Duc & Hille, Erik & Nasir, Muhammad Ali, 2020. "Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
• Martín García, Rodrigo & Ventura Pérez, Enrique & Arguedas Sanz, Raquel, 2020. "Temporal optimisation of signals emitted automatically by securities exchange indicators," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• J Reade & C Singleton & L Vaughan Williams, 2020. "Betting Markets for English Premier League Results and Scorelines: Evaluating a Simple Forecasting Model," Economic Issues Journal Articles, Economic Issues, vol. 25(1), pages 87-106, March.
  • J. James Reade & Carl Singleton & Leighton Vaughan Williams, 2020. "Betting markets for English Premier League results and scorelines: evaluating a forecasting model," Economics Discussion Papers em-dp2020-03, Department of Economics, University of Reading.
• Xiyang Li & Bin Li & Tarlok Singh & Kan Shi, 2020. "Predicting stock market returns in the US: evidence from an average correlation approach," Accounting Research Journal, Emerald Group Publishing Limited, vol. 33(2), pages 411-433, February.
• Xiyang Li & Bin Li & Tarlok Singh & Kan Shi, 2020. "Predicting stock market returns in the US: evidence from an average correlation approach," Accounting Research Journal, Emerald Group Publishing Limited, vol. 33(2), pages 411-433, February.
• Conghua Wen & Fei Jia & Jianli Hao, 2020. "Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market," China Finance Review International, Emerald Group Publishing Limited, vol. 13(2), pages 285-303, November.
• Hasan Hüseyin Yildirim & Bahadir Ildokuz, 2020. "Determining the Relationship Between CAMLS Variables and Profitability: An Application on Banks in the BIST Bank Index," Contemporary Studies in Economic and Financial Analysis, in: Contemporary Issues in Business Economics and Finance, volume 104, pages 85-103, Emerald Group Publishing Limited.
• Guglielmo Maria Caporale & Alex Plastun, 2020. "Daily abnormal price changes and trading strategies in the FOREX," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 48(1), pages 211-222, September.
• Julia S. Mehlitz & Benjamin R. Auer, 2020. "A Monte Carlo evaluation of non-parametric estimators of expected shortfall," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(4), pages 355-397, October.
• Julia S. Mehlitz & Benjamin R. Auer, 2020. "A Monte Carlo evaluation of non-parametric estimators of expected shortfall," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(4), pages 355-397, October.
• Renu Isidore R. & P. Christie & C. Joe Arun, 2020. "Influence of the biological age of the investor on decision-making in the secondary equity market," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(1), pages 99-117, October.
• Katarzyna Kubiszewska & Marcin Potrykus, 2020. "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1047-1067.
• Beata Zmyslona & Agnieszka Marciniuk, 2020. "Financial Protection for the Elderly - Contracts Based on Equity Release and Critical Health Insurance," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 867-882.
• Grzegorz Przekota, 2020. "Application of the Surface Division Method to Segregate Investments in Capital Markets for Shares‘ Portfolio," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 883-896.
• Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023. "Commodity price uncertainty as a leading indicator of economic activity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
  • Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
  • Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
  • Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020. "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers 29200, University of Essex, Essex Business School.
• Jens H. E. Christensen & Glenn D. Rudebusch & Patrick Shultz, 2020. "Accounting for Low Long-Term Interest Rates: Evidence from Canada," Working Paper Series 2020-35, Federal Reserve Bank of San Francisco.
• Jens H. E. Christensen & Glenn D. Rudebusch & Patrick Shultz, 2020. "Accounting for Low Long-Term Interest Rates: Evidence from Canada," Working Paper Series 2020-35, Federal Reserve Bank of San Francisco.
  • Jens H. E. Christensen & Glenn D. Rudebusch & Patrick Shultz, 2020. "Accounting for Low Long-Term Interest Rates: Evidence from Canada," Working Paper Series 2020-35, Federal Reserve Bank of San Francisco.
• Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020. "Mining for Oil Forecasts," Research Working Paper RWP 20-20, Federal Reserve Bank of Kansas City.
• Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone & J. Nellie Liang & Eric Qian, 2020. "What Do Financial Conditions Tell Us about Risks to GDP Growth?," Liberty Street Economics 20200521, Federal Reserve Bank of New York.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
  • Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020. "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive 2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Dean Fantazzini & Nikita Kolodin, 2020. "Does the Hashrate Affect the Bitcoin Price?," JRFM, MDPI, vol. 13(11), pages 1-29, October.
  • Fantazzini, Dean & Kolodin, Nikita, 2020. "Does the hashrate affect the bitcoin price?," MPRA Paper 103812, University Library of Munich, Germany.
• João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
  • Joao F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Working Papers 202087, University of Pretoria, Department of Economics.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
  • Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
  • Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers halshs-02893291, HAL.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 2020, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 20-27, Chapman University, Economic Science Institute.
• Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers 2020-20, University of Graz, Department of Economics.
• Saker Sabkha, 2021. "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Post-Print hal-01769390, HAL.
• Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
  • Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Post-Print hal-02512423, HAL.
• Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
  • Dominique Pépin & Stephen Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Post-Print hal-04648224, HAL.
• Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," HEC Research Papers Series 1402, HEC Paris.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Working Papers hal-03031876, HAL.
  • Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020. "Does Big Data Improve Financial Forecasting? The Horizon Effect," Swiss Finance Institute Research Paper Series 20-106, Swiss Finance Institute.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 20-27, Chapman University, Economic Science Institute.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
  • Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers halshs-02893291, HAL.
  • Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers 2020, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
• Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
  • Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
• Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020. "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers 2021:1, Örebro University, School of Business.
• Lundström, Christian, 2020. "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies 974, Umeå University, Department of Economics.
• Tatyana Erofeeva, 2020. "Assessment of the Functional Relationship between the Yield Spread and the Default Spread," HSE Economic Journal, National Research University Higher School of Economics, vol. 24(1), pages 28-52.
• Inna S. Lola & Anton Manukov & Murat Bakeev, 2020. "Stress Testing As A Tool For Monitoring And Modelling The Dynamics Of Business Activity Of Manufacturing Enterprises In Russia In The Face Of Market Shocks: Short-Term Scenarios Of Industry Tendencies," HSE Working papers WP BRP 108/STI/2020, National Research University Higher School of Economics.
• Donatello Caruso & Tetiana Lunkina & Alla Burkovska & Anna Burkovska, 2020. "Assessment of the Influence of the National Bank of Ukraine Monetary Policy on Food Security of the State," Oblik i finansi, Institute of Accounting and Finance, issue 4, pages 45-51, December.
• H. W. Wayne Yang & Po-Wei Shen & An-Sing Chen, 2020. "Trimming Effects And Momentum Investing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 14(2), pages 73-87.
• Deepa Bannigidadmath, 2020. "Consumer Sentiment And Indonesia'S Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(Special I), pages 1-14, January.
• Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
• Roberto Gallardo Del Ángel, 2020. "Financial time series forecasting using Artificial Neural Networks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 105-122, Enero - M.
• Rey Francisco Ayala Castrejon & Christian Bucio Pacheco, 2020. "Modelo ARIMA aplicado al tipo de cambio peso-dólar en el periodo 2016-2017 mediante ventanas temporales deslizantes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(3), pages 331-354, Julio - S.
• Joana Almeida & Raquel M. Gaspar, 2021. "Accuracy of European Stock Target Prices," JRFM, MDPI, vol. 14(9), pages 1-27, September.
  • Joana Almeida & Raquel M. Gaspar, 2020. "Accuracy of European Stock Target Prices," Working Papers REM 2020/0115, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
  • Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Amparo Soler-Domínguez & Juan Carlos Matallín-Sáez & Diego Víctor de Mingo-López & Emili Tortosa-Ausina, 2020. "Social responsible mutual funds and lowcarbon economy," Working Papers 2020/15, Economics Department, Universitat Jaume I, Castellón (Spain).
• Bartram, Söhnke & Branke, Jürgen & Motahari, Mehrshad, 2020. "Artificial Intelligence in Asset Management," CEPR Discussion Papers 14525, C.E.P.R. Discussion Papers.
  • Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
• Prasenjit Chakrabarti & K Kiran Kumar, 2020. "High-Frequency Return-Implied Volatility Relationship: Empirical Evidence from Nifty and India VIX," Journal of Developing Areas, Tennessee State University, College of Business, vol. 54(3), pages 53-68, July-Sept.
• Jochen Güntner & Benjamin Karner, 2020. "Hedging with commodity futures and the end of normal Backwardation," Economics working papers 2020-21, Department of Economics, Johannes Kepler University Linz, Austria.
• Hatıra SADEGHZADEH EMSEN & Ömer Selçuk EMSEN & Ömer YALÇINKAYA, 2020. "An Effort To Construct A Mechanism Similar To The Taylor Rule Mechanism: Tests On Bist-100," JOURNAL OF LIFE ECONOMICS, Holistence Publications, vol. 7(1), pages 79-102, January.
• Vigo Pereira, Caio, 2021. "Portfolio efficiency with high-dimensional data as conditioning information," International Review of Financial Analysis, Elsevier, vol. 77(C).
  • Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
• Mario Maggi & Maria-Laura Torrente & Pierpaolo Uberti, 2020. "Proper measures of connectedness," Annals of Finance, Springer, vol. 16(4), pages 547-571, December.
• Polin Wu & Wasin Siwasarit, 2020. "Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 115-144, March.
• Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020. "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 387-414, September.
• Parthajit Kayal & Sayanti Mondal, 2020. "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 453-476, December.
• Alexandru Mandes, 2020. "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 407-450, February.
• Jules Clement Mba & Sutene Mwambi, 2020. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 199-214, June.
• Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
• Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
  • Guglielmo Maria Caporale & Alex Plastun, 2019. "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series 7917, CESifo.
• Frank J. Fabozzi & Iason Kynigakis & Ekaterini Panopoulou & Radu S. Tunaru, 2020. "Detecting Bubbles in the US and UK Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 469-513, May.
• Hsiao-Fen Hsiao & Jiang-Chuan Huang & Zheng-Wei Lin, 2020. "Portfolio construction using bootstrapping neural networks: evidence from global stock market," Review of Derivatives Research, Springer, vol. 23(3), pages 227-247, October.
• Maxim Ulrich & Simon Walther, 2020. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 23(3), pages 323-355, October.
• Tavy Ronen & Oleg Sokolinskiy & Ben Sopranzetti, 2020. "The risk management implications of using end of day consensus pricing for single name CDS," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 269-304, July.
• Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020. "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 803-825, October.
• Bihary, Zsolt & Víg, Attila András, 2020. "Heterogén kereskedési stratégiák hatása a piaci árfolyamokra [The effect of heterogeneous commercial strategies on market exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 688-707.
• Daniel V. Fauser & Andreas Gruener, 2020. "Corporate Social Irresponsibility and Credit Risk Prediction: A Machine Learning Approach," Credit and Capital Markets, Credit and Capital Markets, vol. 53(4), pages 513-554.
• Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  • Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi, 2020. "Forecasting Stock Returns with Large Dimensional Factor Models," Working Papers 305661169, Lancaster University Management School, Economics Department.
• Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Rahimi, Fatemeh & Mousavian Anaraki, Seyed Alireza, 2020. "Proposing an Innovative Model Based on the Sierpinski Triangle for Forecasting EUR/USD Direction Changes," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 423-444, October.
• Eszter Boros, 2020. "Risks of Climate Change and Credit Institution Stress Tests," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 19(4), pages 107-131.
• Hanna Kołodziejczyk, 2020. "Identifying structural changes and associations in exchange rates with Markov switching models. The evidence from Central European currency markets," Bank i Kredyt, Narodowy Bank Polski, vol. 51(1), pages 69-90.
• Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
• Stefan Simeonov & Theodor Todorov & Daniel Nikolaev, 2020. "Testing Methods And Models To Forecast Cryptocurrencies Exchange Rate," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 17(1), pages 10-26.
• Branimir Cvitko Cicvarić, 2020. "Volatility of Cryptocurrencies," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(6), pages 13-23, December.
• E Philip Davis & Dilruba Karim & Dennison Noel, 2020. "The Effects of Macroprudential Policy on Banks' Profitability," National Institute of Economic and Social Research (NIESR) Discussion Papers 514, National Institute of Economic and Social Research.
• E Philip Davis & Dilruba Karim & Dennison Noel, 2020. "Macroprudential Policy, Monetary Policy and the Bank Interest Rate Margin," National Institute of Economic and Social Research (NIESR) Discussion Papers 515, National Institute of Economic and Social Research.
• VESA Lidia, 2020. "The Net Present Value And The Optimal Solution Of Linear Programming In Investment Decisions," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 135-145, December.
• VESA Lidia, 2020. "Managing The Impact Of The Inventory Level On The Financial Ratios Through Dual Simplex Algorithm In The Coronavirus Crisis," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 241-256, December.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
• Johanna F Ziegel & Fabian Krüger & Alexander Jordan & Fernando Fasciati, 2020. "Robust Forecast Evaluation of Expected Shortfall [Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(1), pages 95-120.
• Andrea Bucci, 2020. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Andrea Bucci, 0. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Bucci, Andrea, 2019. "Realized Volatility Forecasting with Neural Networks," MPRA Paper 95443, University Library of Munich, Germany.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 2020. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019. "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive 2019_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Chunhua Lan & Nikolai Roussanov, 2020. "Stock Price Movements: Business-Cycle and Low-Frequency Perspectives," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 335-395.
• Anna Scherbina & Bernd Schlusche, 2020. "Follow the Leader: Using the Stock Market to Uncover Information Flows between Firms [Trade credit and cross-country predictable firm returns]," Review of Finance, European Finance Association, vol. 24(1), pages 189-225.
• Prachi Deuskar & Nitin Kumar & Jeramia Allan Poland, 2020. "Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions," Review of Finance, European Finance Association, vol. 24(5), pages 1039-1077.
• Philipp Adämmer & Rainer A Schüssler, 2020. "Forecasting the Equity Premium: Mind the News!," Review of Finance, European Finance Association, vol. 24(6), pages 1313-1355.
• G Andrew Karolyi & Stijn Van Nieuwerburgh, 2020. "New Methods for the Cross-Section of Returns," Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1879-1890.
  • G Andrew Karolyi & Stijn Van Nieuwerburgh, 2020. "New Methods for the Cross-Section of Returns," Review of Finance, European Finance Association, vol. 33(5), pages 1879-1890.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020. "Factor Timing," Review of Finance, European Finance Association, vol. 33(5), pages 1980-2018.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," Review of Finance, European Finance Association, vol. 33(5), pages 2223-2273.
• Stijn Van Nieuwerburgh, 2020. "New Methods for the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1879-1890.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
  • Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020. "Factor Timing," NBER Working Papers 26708, National Bureau of Economic Research, Inc.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
  • Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
  • Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series 18-71, Swiss Finance Institute.
• Alexis Akira Toda & Kieran James Walsh & Stijn Van Nieuwerburgh, 2020. "The Equity Premium and the One Percent," The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3583-3623.
  • Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
• Ionela Munteanu, 2020. "Financial Reporting Quality and Operational Efficiency in the Coastal Region of Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 978-984, December.
• Yang Gao & Stephen Satchell & Nandini Srivastava, 2020. "Styles through a convergent/divergent lens: the curious case of ESG," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 4-12, February.
• Lars Kaiser, 2020. "ESG integration: value, growth and momentum," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 32-51, February.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 2020. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 428-446, September.
• Stefano Zedda & Simone Sbaraglia, 2020. "Which interbank net is the safest?," Risk Management, Palgrave Macmillan, vol. 22(1), pages 65-82, March.
• Andrés Berenguer & Luis Gandarias & Álvaro Arévalo, 2020. "Singular spectrum analysis for modelling the hard-to-model risk factors," Risk Management, Palgrave Macmillan, vol. 22(3), pages 178-191, September.
• Michael Hanias & Stefanos Tsakonas & Lykourgos Magafas & Eleftherios I. Thalassinos & Loukas Zachilas, 2020. "Deterministic chaos and forecasting in Amazon’s share prices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 15(2), pages 253-273, June.
• Grilli, Luca & Santoro, Domenico, 2020. "How Boltzmann Entropy Improves Prediction with LSTM," MPRA Paper 100578, University Library of Munich, Germany.
• Grilli, Luca & Santoro, Domenico, 2020. "Dualism in Bitcoin Dynamics: existence of an Upper Bound in Poincaré Recurrence Theorem for Deterministic vs Stochastic Behavior," MPRA Paper 101057, University Library of Munich, Germany.
• Rashid, Muhammad Mustafa, 2020. "The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread," MPRA Paper 101723, University Library of Munich, Germany, revised 19 May 2020.
• Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
  • Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
• Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
• Victor Olkhov, 2020. "Volatility Depends on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org, revised Jun 2024.
  • Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
• Yardley, Ben, 2020. "The Effects of Donald Trump’s Tweets on The Stock Exchange," MPRA Paper 102578, University Library of Munich, Germany.
• Dean Fantazzini & Nikita Kolodin, 2020. "Does the Hashrate Affect the Bitcoin Price?," JRFM, MDPI, vol. 13(11), pages 1-29, October.
  • Fantazzini, Dean & Kolodin, Nikita, 2020. "Does the hashrate affect the bitcoin price?," MPRA Paper 103812, University Library of Munich, Germany.
• Sinha, Pankaj & Sawaliya, Priya & Sinha, Prateek, 2020. "Surviving Coronavirus scare: A journey of stock market amid a slowdown in Indian Economy," MPRA Paper 103902, University Library of Munich, Germany, revised 20 Jun 2020.
• Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  • John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
  • Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper 104504, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolas, 2020. "The Mean Squared Prediction Error Paradox: A summary," MPRA Paper 105020, University Library of Munich, Germany.
• Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
• Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 99918, University Library of Munich, Germany.
  • Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  • Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
• Tinoco, Marcos, 2020. "Modelando la volatilidad del diferencial TED: Una evaluación de pronósticos de modelos con heterocedasticidad condicional [Modeling the volatility of the TED spread: An assessment of model forecast," MPRA Paper 108086, University Library of Munich, Germany.
• Mansur, Alfan & Nizar, Muhammad Afdi, 2020. "Menilik Perkembangan Sektor Keuangan Indonesia di Tengah Pandemi [Observing the Development of Indonesia's Financial Sector Amid the Pandemic]," MPRA Paper 109336, University Library of Munich, Germany.
• Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
• Limba, Franco & Rijoly, Jacobus Cliff Diky & Tarangi, Margreath, 2020. "Black Swan Global Market: Analysis of the Effect of the Covid-19 Death Rate on the Volatility of European Football Club Stock Prices (Case Study of Juventus F.C., Manchester United, Ajax Amsterdam and," MPRA Paper 120396, University Library of Munich, Germany.
• Skufi, Lorena, 2020. "Financial sector and macroeconomics links in MEAM," MPRA Paper 120481, University Library of Munich, Germany, revised 2020.
• Zarei, Samira, 2020. "Analyzing the Asymmetric Effects of Inflation and Exchange Rate Misalignments on the Petrochemical Stock index: The Case of Iran," MPRA Paper 99101, University Library of Munich, Germany.
• Grilli, Luca & Santoro, Domenico, 2020. "Boltzmann Entropy in Cryptocurrencies: A Statistical Ensemble Based Approach," MPRA Paper 99591, University Library of Munich, Germany.
• Grilli, Luca & Santoro, Domenico, 2020. "Generative Adversarial Network for Market Hourly Discrimination," MPRA Paper 99846, University Library of Munich, Germany.
• Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  • Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 99918, University Library of Munich, Germany.
  • Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
• Tweneboah Senzu, Emmanuel, 2020. "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper 99933, University Library of Munich, Germany.
• Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 29-53, January.
  • Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Working Papers 202003, University of Pretoria, Department of Economics.
• Bonato, Matteo & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "A note on investor happiness and the predictability of realized volatility of gold," Finance Research Letters, Elsevier, vol. 39(C).
  • Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers 202004, University of Pretoria, Department of Economics.
• Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
  • Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
• Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
  • Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
• Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?," Working Papers 2020107, University of Pretoria, Department of Economics.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
• João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
  • Joao F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Working Papers 202087, University of Pretoria, Department of Economics.
• Bouri, Elie & Gupta, Rangan & Majumdar, Anandamayee & Subramaniam, Sowmya, 2021. "Time-varying risk aversion and forecastability of the US term structure of interest rates," Finance Research Letters, Elsevier, vol. 42(C).
  • Elie Bouri & Rangan Gupta & Anandamayee Majumdar & Sowmya Subramaniam, 2020. "Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates," Working Papers 202098, University of Pretoria, Department of Economics.
• Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2020. "Application of Copulas to Modelling of Marriage Reverse Annuity Contract," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(4), pages 445-468.
• Agnieszka Marciniuk & Emília Zimková & Vlastimil Farkašovský & Colin W. Lawson, 2020. "Valuation of Equity Release Contracts in Czech Republic, Republic of Poland and Slovak Republic," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(5), pages 505-521.
• Caio Almeida & Kym Ardison & René Garcia & Piotr OrÅ‚owski, 2020. "Extracting Tail Risk from High-Frequency S&P 500 Returns," Working Papers 2020-78, Princeton University. Economics Department..
• Savvakis C. Savvides, 2020. "Dealing with pandemic recession in conditions of uncertainty and extreme private debt The case of Cyprus," Development Discussion Papers 2020-21, JDI Executive Programs.
• Ramona Serrano Bautista & Leovardo Mata Mata, 2020. "A conditional heteroscedastic VaR approach with alternative distributions," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 17(2), pages 81-98, Julio-Dic.
• J Reade & C Singleton & L Vaughan Williams, 2020. "Betting Markets for English Premier League Results and Scorelines: Evaluating a Simple Forecasting Model," Economic Issues Journal Articles, Economic Issues, vol. 25(1), pages 87-106, March.
  • J. James Reade & Carl Singleton & Leighton Vaughan Williams, 2020. "Betting markets for English Premier League results and scorelines: evaluating a forecasting model," Economics Discussion Papers em-dp2020-03, Department of Economics, University of Reading.
• Robert Barro & Tao Jin, 2021. "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
  • Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.
• Robert Barro & Tao Jin, 2021. "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
  • Robert Barro & Tao Jin, 2020. "Code and data files for "Rare Events and Long-Run Risks"," Computer Codes 18-485, Review of Economic Dynamics.
• Evangelos Vasileiou & Aristeidis Samitas, 2020. "Value at Risk, Legislative Framework, Crises, and Procyclicality: what goes wrong?," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 12(3), pages 345-369, October.
• Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
• Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
  • Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
• Nikita Artamonov & Anna Voronina & Nikita Emelyanov & Aleksei Kurbatskii, 2020. "Estimation of interest rates’ impact on mutual funds’ performance in the USA," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 55-75.
• Dean Fantazzini, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
  • Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
• Tuğba Nur TOPALOĞLU & Erol KÖYCÜ, 2020. "Stock Volatility Modeling in Health Enterprises: An Econometric Survey in The Human Health and Social Services Sector," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 5(1), pages 87-107.
• Hongbing OUYANG & Xiaolu WEI & Qiufeng WU, 2020. "Stock Index Pattern Discovery via Toeplitz Inverse Covariance-based Clustering," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 58-72, July.
• Chamil W SENARATHNE & Wei JIANGUO, 2020. "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 73-91, July.
• Nijolė MAKNICKIENĖ & Jelena STANKEVIČIENĖ & Algirdas MAKNICKAS, 2020. "Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 134-148, September.
• Karam KIM & Doojin RYU, 2020. "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 33-46, December.
• Huaibing Yu, 2020. "Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 165-173.
• Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
• Yu. Danilov A. & D. Pivovarov A. & I. Davydov S. & Ю. Данилов А. & Д. Пивоваров А. & И. Давыдов С., 2020. "К вопросу о предвидении глобальных финансово-экономических кризисов // On the Issue of Predicting Global Financial and Economic Crises," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(1), pages 87-104.
• V. Minasyan B. & В. Минасян Б., 2020. "Новые способы измерения катастрофических финансовых рисков: меры «VaR в степени t» и их вычисление // New Ways to Measure Catastrophic Financial Risks: “VaR to the power of t” Measures and How to Calc," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(3), pages 92-109.
• I. Naumov V. & A. Trynov V. & A. Safonov O. & И. Наумов В. & А. Трынов В. & А. Сафонов О., 2020. "Сценарное моделирование воспроизводства инвестиционного потенциала институциональных секторов в регионах Сибирского федерального округа // Scenario Modelling for Reproducing Investment Potential of In," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(6), pages 19-37.
• V. Rakhaev A. & В. Рахаев А., 2020. "Развитие методов оценки кредитного риска для формирования резервов на возможные потери по ссудам // Developing Credit Risk Assessment Methods to Make loss Provisions for Potential loans," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(6), pages 82-91.
• V. Minasyan B & В. Минасян Б., 2020. "Новые меры рисков «VaR в степени t» и «ES в степени t» и меры риска искажения // New Risk Measures “VaR to the Power of t” and “ES to the Power of t” and Distortion Risk Measures," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(6), pages 92-107.
• Gregor Semieniuk & Emanuele Campiglio & Jean‐Francois Mercure & Ulrich Volz & Neil R. Edwards, 2021. "Low‐carbon transition risks for finance," Wiley Interdisciplinary Reviews: Climate Change, John Wiley & Sons, vol. 12(1), January.
  • Gregor Semieniuk & Emanuele Campiglio & Jean-Francois Mercure & Ulrich Volz & Neil R. Edwards, 2020. "Low-carbon transition risks for finance," Working Papers 233, Department of Economics, SOAS University of London, UK.
• Yakup SÖYLEMEZ, 2020. "Prediction of Gold Prices Using Multilayer Artificial Neural Networks Method," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(46).
• Fernando Fernandes & Rodrigo De Losso, Rogerio Oliveira, Angelo J D Soto, Pedro D Cavalcanti, Gabriel M S Campos, 2020. "Saving Markowitz: A Risk Parity approach based on the Cauchy Interlacing Theorem," Working Papers, Department of Economics 2020_13, University of São Paulo (FEA-USP).
• Selcuk Kendirli & Muhammet Selcuk Kaya & Mustafa Bilgin, 2020. "Evaluation of Financial Performances of SME’s Listed in the Bist Sme Industrial Index by Using TOPSIS Multicriteria Decision Making Method," Journal of Economic Development, Environment and People, Alliance of Central-Eastern European Universities, vol. 9(3), pages 63-74, September.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2020. "Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios," Annals of Operations Research, Springer, vol. 284(1), pages 165-197, January.
• Dimitrios Koutmos, 2020. "Market risk and Bitcoin returns," Annals of Operations Research, Springer, vol. 294(1), pages 453-477, November.
• Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
  • Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Larisa Adamyan & Kirill Efimov & Cathy Y. Chen & Wolfgang K. Härdle, 2020. "Adaptive weights clustering of research papers," Digital Finance, Springer, vol. 2(3), pages 169-187, December.
  • Adamyan, Larisa & Efimov, Kirill & Chen, Cathy Yi-hsuan & Härdle, Wolfgang Karl, 2017. "Adaptive weights clustering of research papers," SFB 649 Discussion Papers 2017-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2020. "Forecasting S&P 500 spikes: an SVM approach," Digital Finance, Springer, vol. 2(3), pages 241-258, December.
• Christian Pierdzioch & Marian Risse, 2020. "Forecasting precious metal returns with multivariate random forests," Empirical Economics, Springer, vol. 58(3), pages 1167-1184, March.
• Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
• Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
• João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
• Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
• Kenneth R. Szulczyk & Changyong Zhang, 2020. "Switching-regime regression for modeling and predicting a stock market return," Empirical Economics, Springer, vol. 59(5), pages 2385-2403, November.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
• Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
  • Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
• Lin Liu & Qiguang Chen, 2020. "How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
• Robert Azencott & Peng Ren & Ilya Timofeyev, 2020. "Realised volatility and parametric estimation of Heston SDEs," Finance and Stochastics, Springer, vol. 24(3), pages 723-755, July.
• Gulraze Wakil, 2020. "Firm size proxies and the value relevance of predictive stock return models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 434-457, July.
• Agnieszka M. Chomicz-Grabowska & Lucjan T. Orlowski, 2020. "Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 655-669, October.
• Yuri Biondi & Simone Righi, 2020. "Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(2), pages 333-362, April.
• Thomas Hauner, 2020. "Aggregate wealth and its distribution as determinants of financial crises," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(3), pages 319-338, September.
• Laura Casula & Guglielmo D’Amico & Giovanni Masala & Filippo Petroni, 2020. "Performance estimation of photovoltaic energy production," Letters in Spatial and Resource Sciences, Springer, vol. 13(3), pages 267-285, December.
• Justyna Mokrzycka, 2020. "VaR and ES Calculation with a Bayesian Dynamic tCopula-GARCH Model," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Cross-Section Data Methods in Applied Economic Research, chapter 46, pages 685-703, Springer.
• Hsien-Ming Chou & Tsai-Lun Cho, 2020. "Effects of Slope Coefficients and Bollinger Bands on Short-term Investment," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(2), pages 1-7.
• Chuo Chang, 2020. "Dynamic correlations and distributions of stock returns on China's stock markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-6.
• Keqi Chen, 2020. "A Closer Look at Analyst Expectations: Stickiness and Confirmation Bias," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(5), pages 1-15.
• Markus Spiwoks & Zulia Gubaydullina, 2020. "The Magic of Figures: Anchoring and Interferences," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 9(3), pages 1-2.
• Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi, 2023. "Uncertainty in firm valuation and a cross-sectional misvaluation measure," Annals of Finance, Springer, vol. 19(1), pages 63-93, March.
  • Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi, 2020. "Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure," LEM Papers Series 2020/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Bottazzi, Giulio & Cordoni, Francesco & Livieri, Giulia & Marmi, Stefano, 2023. "Uncertainty in firm valuation and a cross-sectional misvaluation measure," LSE Research Online Documents on Economics 118172, London School of Economics and Political Science, LSE Library.
• Fernando García & Jairo González-Bueno & Francisco Guijarro & Javier Oliver, 2020. "A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American integrated market," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(2), pages 1027-1046, December.
• Zbyslaw Dobrowolski, 2020. "After COVID-19. Reorientation of crisis management in crisis," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(2), pages 799-810, December.
• Jaroslav Baran & Jan Voříšek, 2020. "Volatility indices and implied uncertainty measures of European government bond futures," Working Papers 43, European Stability Mechanism.
• Hossein Hassani & Mohammad Reza Yeganegi & Juncal Cuñado & Rangan Gupta, 2020. "Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(6), pages 1128-1143, April.
  • Hossein Hassani & Mohammad Reza Yeganegi & Juncal Cunado & Rangan Gupta, 2018. "Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers 201873, University of Pretoria, Department of Economics.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
  • Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
• Luiz Félix & Roman Kräussl & Philip Stork, 2020. "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 823-849, May.
  • Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
  • Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
• Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 13(3), pages 56-69, December.
• Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
  • Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  • Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
  • Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
• Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
  • Tae-Hwy Lee & Ekaterina Seregina, 2023. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202302, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
• Dominique Pépin & Stephen Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Post-Print hal-04648224, HAL.
  • Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
• Ilya V. Naumov, 2020. "A scenario-based model of the reproduction of institutional sectors’ investment potential in Sverdlovsk oblast," Upravlenets, Ural State University of Economics, vol. 11(5), pages 17-28, November.
• Elena Stavrova & Mariya Paskaleva & Ani Stoykova, 2020. "Empirical Analysis Of “Black Swan Effect”: Evidence Of China," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 129-146.
• Hristina Vasileva, 2020. "Application Of Logistic Regressionin Assessing The Credit Risk Of Smes," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 334-345.
• Georgi Hristov, 2020. "Risk Premium Or Sentiment Premium," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 494-506.
• Elena Stavrova & Mariya Paskaleva & Ani Stoykova, 2020. "Empirical Analysis Of “Black Swan Effect”: Evidence Of China," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 129-146.
• Hristina Vasileva, 2020. "Application Of Logistic Regressionin Assessing The Credit Risk Of Smes," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 334-345.
• Jerić Silvija Vlah, 2020. "Comparing classification algorithms for prediction on CROBEX data," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(2), pages 4-11, December.
• Jerić Silvija Vlah, 2020. "Comparing classification algorithms for prediction on CROBEX data," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(2), pages 4-11, December.
• Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
• Latoszek Michał & Ślepaczuk Robert, 2020. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Economics and Business Review, Sciendo, vol. 6(1), pages 46-81, March.
  • Michał Latoszek & Robert Ślepaczuk, 2019. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers 2019-14, Faculty of Economic Sciences, University of Warsaw.
• Kozioł Karolina & Pitera Rafał, 2020. "An Assessment of the Reliability of Discriminatory Models on the Basis of the Bankruptcy of Comapanies in the Food Industry in Poland," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 221-231, June.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Wolski Rafal, 2020. "Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices," Real Estate Management and Valuation, Sciendo, vol. 28(1), pages 100-111, March.
• Oleh Bilyk & Paweł Sakowski & Robert Ślepaczuk, 2020. "Investing in VIX futures based on rolling GARCH models forecasts," Working Papers 2020-10, Faculty of Economic Sciences, University of Warsaw.
• Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
• Paweł Sakowski & Daria Turovtseva, 2020. "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers 2020-42, Faculty of Economic Sciences, University of Warsaw.
• Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
  • Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
  • Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
• Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  • Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Andrea Bucci, 2020. "Cholesky–ANN models for predicting multivariate realized volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 865-876, September.
  • Bucci, Andrea, 2019. "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper 95137, University Library of Munich, Germany.
• Van Son Lai & Xiaoxia Ye, 2020. "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 1873-1907, December.
  • Van Son Lai & Xiaoxia Ye, 2019. "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?," Working Papers 2019-012, Department of Research, Ipag Business School.
• John B Guerard & William T Ziemba (ed.), 2020. "Handbook of Applied Investment Research," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11727.
• George Xianzhi Yuan (ed.), 2020. "The CME Vulnerability:The Impact of Negative Oil Futures Trading," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11908.
• John B. Guerard Jr. & William T. Ziemba, 2020. "Introduction," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 1, pages xxix-lii, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2020. "The Five Investor Camps that Try to Beat the Stock Market," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 2, pages 3-16, World Scientific Publishing Co. Pte. Ltd..
• M. Bloch & J. Guerard & H. Markowitz & P. Todd & G. Xu, 2020. "A comparison of some aspects of the U.S. and Japanese equity markets," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 3, pages 17-40, World Scientific Publishing Co. Pte. Ltd..
  • Bloch, M. & Guerard, J. & Markowitz, H. & Todd, P. & Xu, G., 1993. "A comparison of some aspects of the U.S. and Japanese equity markets," Japan and the World Economy, Elsevier, vol. 5(1), pages 3-26, May.
• Leonard C. MacLean & Michael E. Foster & William T. Ziemba, 2020. "Covariance complexity and rates of return on assets," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 4, pages 41-61, World Scientific Publishing Co. Pte. Ltd..
• J. B. Guerard Jr. & H. Markowitz & G. Xu, 2020. "The role of effective corporate decisions in the creation of efficient portfolios," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 5, pages 63-73, World Scientific Publishing Co. Pte. Ltd..
• John B. Guerard Jr. & Harry Markowitza & GanLin Xu, 2020. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 6, pages 75-85, World Scientific Publishing Co. Pte. Ltd..
• Bijan Beheshti & John B. Guerard Jr. & Chris Mercs, 2020. "Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 7, pages 87-126, World Scientific Publishing Co. Pte. Ltd..
• Brian Bruce & Douglas Stark, 2020. "The Hillcrest Management Sentiment Indicator," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 8, pages 127-140, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2020. "Seasonality Effects In Japanese Futures Markets," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 9, pages 143-171, World Scientific Publishing Co. Pte. Ltd..
• Constantine Dzhabarov & William T. Ziemba, 2020. "Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993–2019," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 10, pages 173-186, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2020. "Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 11, pages 187-214, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2020. "World wide security market regularities," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 12, pages 215-246, World Scientific Publishing Co. Pte. Ltd..
• Constantine Dzhabarov & Alexandre Ziegler & William T. Ziemba, 2020. "Sell-in-May-and-Go-Away: The International Evidence," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 13, pages 247-280, World Scientific Publishing Co. Pte. Ltd..
• Blair Hull & Petra Bakosova & Alexander Kment, 2020. "Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 14, pages 281-321, World Scientific Publishing Co. Pte. Ltd..
• Sebastien Lleo & William T Ziemba, 2020. "Stock Market Crashes in 2006–2009: Were We Able to Predict Them?," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 15, pages 323-353, World Scientific Publishing Co. Pte. Ltd..
• J. B. Guerard Jr. & S. T. Rachev & B. P. Shao, 2020. "Efficient global portfolios: Big data and investment universes," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 16, pages 357-367, World Scientific Publishing Co. Pte. Ltd..
• Harry M. Markowitz & David Starer & Harvey Fram & Sander Gerber, 2020. "Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean–Semivariance Portfolio Optimization," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 17, pages 369-415, World Scientific Publishing Co. Pte. Ltd..
• Chong Li & Edward Tower & Rhona Zhang, 2020. "Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 18, pages 417-476, World Scientific Publishing Co. Pte. Ltd..
• Boryana Racheva-Iotova, 2020. "Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 19, pages 479-509, World Scientific Publishing Co. Pte. Ltd..
• Foteini Kyriazi & Dimitrios D. Thomakos, 2020. "Foreign Exchange Rate Predictability: Seek and Ye Shall Find It," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 20, pages 511-556, World Scientific Publishing Co. Pte. Ltd..
• Tim Leung & Brian Ward, 2020. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 21, pages 557-596, World Scientific Publishing Co. Pte. Ltd..
  • Tim Leung & Brian Ward, 2019. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers 1907.00293, arXiv.org.
• Barret Pengyuan Shao, 2020. "Long-Memory Processes in High-Frequency Foreign Exchange and U.S. Equity Market," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 22, pages 597-620, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2020. "Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 23, pages 621-633, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba & S. Lleo & M. Zhitlukhin, 2020. "A Stopping Rule Model for Exiting Bubble-like Markets with Applications," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 24, pages 635-659, World Scientific Publishing Co. Pte. Ltd..
  • William T. Ziemba & Sebastien Lleo & Mikhail Zhitlukhin, 2017. "A Stopping Rule Model for Exiting Bubble-like Markets with Applications," World Scientific Book Chapters, in: STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them, chapter 9, pages 209-233, World Scientific Publishing Co. Pte. Ltd..
• H. D. Vinod, 2020. "Econometric Tools for Stress Testing Using Time Heterogeneity and Maximum Entropy," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 25, pages 661-690, World Scientific Publishing Co. Pte. Ltd..
• H. D. Vinod & John B. Guerard Jr., 2020. "Causality Studies of Real GDP, Unemployment, and Leading Indicators," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 26, pages 691-724, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Gillam & Russell Read, 2020. "Investing on the “Far Side of the Moon”: Capturing Capital Market Inclusion Opportunity across MEASA (Middle East–Africa–South Asia)," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 27, pages 725-741, World Scientific Publishing Co. Pte. Ltd..
• Chern Lu, 2020. "The Overview of WTI Crude Oil Futures’ Epic Fall," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 1, pages 3-49, World Scientific Publishing Co. Pte. Ltd..
• Rongbing Huang & George Yuan, 2020. "The Better Way for CME’s Execution: Based on the Perspective of Industry’s Best Practice Rule," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 2, pages 51-67, World Scientific Publishing Co. Pte. Ltd..
• James Zhan, 2020. "Impact of Negative Oil Price on Risk Measuring," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 3, pages 69-83, World Scientific Publishing Co. Pte. Ltd..
• Duoqi Xu & Peiran Wang & Yicheng Wang, 2020. "Three Legal Reflections on the “Crude Oil Treasure” Incident: Starting with the CME Rule Change," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 4, pages 85-101, World Scientific Publishing Co. Pte. Ltd..
• Chenghu Ma & Xianzhen Wang, 2020. "Why Oil Prices Plunged and Settled Negative: A Game-Theoretical Perspective," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 5, pages 105-130, World Scientific Publishing Co. Pte. Ltd..
• Cong Sui & Mo Yang, 2020. "Tanker Shipping and Negative Oil Prices: More Than Just the Freight Rates," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 6, pages 131-146, World Scientific Publishing Co. Pte. Ltd..
• Henry Yang, 2020. "Option Pricing with Shifted Lognormal Model for Negative Oil Prices," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 7, pages 147-153, World Scientific Publishing Co. Pte. Ltd..
• Bin Zhu, 2020. "The Paradox of Negative Oil Prices," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 8, pages 155-162, World Scientific Publishing Co. Pte. Ltd..
• Michael Peng, 2020. "The Challenges of Negative Oil Future Price Posed to Risk Managers and Quants," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 9, pages 165-195, World Scientific Publishing Co. Pte. Ltd..
• Weiping Li, 2020. "Negative Asset Pricing and Moral Hazard," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 10, pages 197-214, World Scientific Publishing Co. Pte. Ltd..
• You Zhang & Lingtong (Stanley) Meng, 2020. "The Bachelier Model: Option Pricing with Negative Strike and Asset Price," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 11, pages 215-222, World Scientific Publishing Co. Pte. Ltd..
• Yali Chang & Jianwu Lin & Chengying He, 2020. "Blockchain-based Options for Physical Settlement of Commodity Futures," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 12, pages 223-251, World Scientific Publishing Co. Pte. Ltd..
• Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
• Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
  • Juselius, Mikael & Tarashev, Nikola A., 2020. "Forecasting expected and unexpected losses," Bank of Finland Research Discussion Papers 18/2020, Bank of Finland.
• Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
• Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021. "Identifying indicators of systemic risk," Journal of International Economics, Elsevier, vol. 132(C).
  • Hartwig, Benny & Meinerding, Christoph & Schüler, Yves, 2020. "Identifying indicators of systemic risk," Discussion Papers 33/2020, Deutsche Bundesbank.
• Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
• Lux, Thomas, 2020. "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers 2020-03, Christian-Albrechts-University of Kiel, Department of Economics.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
  • Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
• Hendriock, Mario, 2020. "Implied cost of capital and mutual fund performance," CFR Working Papers 20-11, University of Cologne, Centre for Financial Research (CFR).
• Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Demary, Markus & Hasenclever, Stefan, 2020. "IW Financial Expert Survey: Second Quarter 2020," IW-Reports 27/2020, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Reh, Laura & Krüger, Fabian & Liesenfeld, Roman, 2020. "Predicting the global minimum variance portfolio," Working Paper Series in Economics 141, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
  • Beckmann, Joscha & Czudaj, Robert L., 2024. "Fundamental determinants of exchange rate expectations," MPRA Paper 120648, University Library of Munich, Germany.
  • Joscha Beckmann & Robert L. Czudaj, 2022. "Fundamental determinants of exchange rate expectations," Chemnitz Economic Papers 056, Department of Economics, Chemnitz University of Technology, revised Mar 2022.
• Berislav Žmuk & Hrvoje Jošiæ, 2020. "Forecasting stock market indices using machine learning algorithms," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 18(4), pages 471-489.
• Wojciech Lichota, 2020. "The comparative analysis of the prediction effectiveness of selected discriminant analysis models," Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie / The Malopolska School of Economics in Tarnow Research Papers Collection, Malopolska School of Economics in Tarnow, vol. 48(4), pages 27-36, December.

2019

• Ivelin Elenchev & Aleksandar Vasilev, 2019. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 17(1 (Spring), pages 51-77.
  • Ivelin Elenchev & Aleksandar Vasilev, 2017. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," Bulgarian Economic Papers bep-2017-09, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Nov 2017.
  • Elenchev, Ivelin & Vasilev, Aleksandar, 2017. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," EconStor Preprints 170681, ZBW - Leibniz Information Centre for Economics.
• Adrian Besimi & Zamir Dika & Visar Shehu & Mubarek Selimi, 2019. "Applied Text-Mining Algorithms for Stock Price Prediction Based on Financial News Articles," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 17(4 (Winter), pages 335-351.
• Ikhlaas Gurrib & Qian Long Kweh & Mohammad Nourani & Irene Wei Kiong Ting, 2019. "Are Cryptocurrencies Affected by Their Asset Class Movements or News Announcements?," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 56(2), pages 201-225, December.
• Kira Muratov-Szabó & Kata Váradi, 2019. "The Impact of Adverse Selection on Stock Exchange Specialists’ Price Quotation Strategy," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(1), pages 88-124.
• Cheng, T. & Gao, J. & Linton, O., 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics 1932, Faculty of Economics, University of Cambridge.
  • Tingting Cheng & Jiti Gao & Oliver Linton, 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Monash Econometrics and Business Statistics Working Papers 4/19, Monash University, Department of Econometrics and Business Statistics.
• Krystian Jaworski, 2019. "Sentiment-induced regime switching in density forecasts of emerging markets’ exchange rates. Calibrated simulation trumps estimated autoregression," Bank i Kredyt, Narodowy Bank Polski, vol. 50(1), pages 83-106.
• Krzysztof Borowski & Izabela Pruchnicka-Grabias, 2019. "Optimal lengths of moving averages for the MACD oscillator for companies listed on the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 50(5), pages 457-478.
• Wolfram Schlenker & Charles A Taylor, 2019. "Market Expectations About Climate Change," NBER Working Papers 25554, National Bureau of Economic Research, Inc.
• Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
• Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
  • Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
• Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019. "Predicting Returns With Text Data," NBER Working Papers 26186, National Bureau of Economic Research, Inc.
• Josh Davis & Alan M. Taylor, 2022. "The Leverage Factor: Credit Cycles and Asset Returns," Management Science, INFORMS, vol. 68(10), pages 7350-7361, October.
  • Taylor, Alan M. & Davis, Josh, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," CEPR Discussion Papers 14115, C.E.P.R. Discussion Papers.
  • Josh Davis & Alan M. Taylor, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," NBER Working Papers 26435, National Bureau of Economic Research, Inc.
• Steven Lehrer & Tian Xie & Tao Zeng, 2021. "Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures? [Regression Models with Mixed Sampling Frequencies]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 910-933.
  • Steven F. Lehrer & Tian Xie & Tao Zeng, 2019. "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers 26505, National Bureau of Economic Research, Inc.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019. "Text Selection," NBER Working Papers 26517, National Bureau of Economic Research, Inc.
• Brychykova, A., 2019. "Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 58-77.
• Harvey, Campbell R., 2019. "Editorial: Replication in Financial Economics," Critical Finance Review, now publishers, vol. 8(1-2), pages 1-9, December.
• Kevin Sheppard & Wen Xu, 2019. "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 33-65.
• Dirk G Baur & Thomas Dimpfl, 2019. "A Quantile Regression Approach to Estimate the Variance of Financial Returns," Journal of Financial Econometrics, Oxford University Press, vol. 17(4), pages 616-644.
• Prasanna Gai & Sujit Kapadia, 2019. "Networks and systemic risk in the financial system," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 35(4), pages 586-613.
• Gustavo S Cortes & Marc D Weidenmier, 2019. "Stock Volatility and the Great Depression," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3544-3570.
  • Gustavo S. Cortes & Marc D. Weidenmier, 2017. "Stock Volatility and the Great Depression," NBER Working Papers 23554, National Bureau of Economic Research, Inc.
• Claudia Isac, 2019. "The Impact of Technologic Innovation on Business in the Financial-Banking Field," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 122-126, December.
• Ilie Răscolen & Ileana – Sorina Rakos, 2019. "Bankruptcy Risk Analysis Based on the Patrimonial Balance Sheet," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 869-878, December.
• Cristi Spulbar & Zulfiqar Ali Imran & Ramona Birau, 2019. "Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 889-894, December.
• H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
• Pareja Vasseur, Julián. DBA & Prada Sánchez, Marcela & Moreno Escobar, Martha, 2019. "Volatilidad en Opciones Reales: Revisión Literaria y un Caso de Aplicación en el Sector Petrolero Colombiano || Real Options Volatility: Literature Review and a Case of Application in the Colombian Oi," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 136-155, June.
• Aitoutouhen, Latifa & Hamza, Faris, 2019. "Strategic Allocation of Pension Reserve Funds: Application of ALM Model and LDI Technique || Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 28(1), pages 381-425, December.
• Dominik Wolff & Ulrich Neugebauer, 2019. "Tree-based machine learning approaches for equity market predictions," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 273-288, July.
• Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
  • Tobias Adrian & Daniel Stackman & Erik Vogt, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.
  • Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
• Marinko Skare & Malgorzata Porada-Rochon, 2019. "Financial and economic development link in transitional economies: a spectral Granger causality analysis 1991–2017," Oeconomia Copernicana, Institute of Economic Research, vol. 10(1), pages 7-35, March.
• Cangoz,Mehmet Coskun & Sulla,Olga & Wang,ChunLan & Dychala,Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," Policy Research Working Paper Series 8728, The World Bank.
  • Cangoz, Mehmet Coskun & Sulla, Olga & Wang, ChunLan & Dychala, Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," MPRA Paper 100311, University Library of Munich, Germany.
• Adegboro, Opeyemi Oluwole & Orekoya, Samuel & Adekunle, Wasiu, 2019. "An Assessment of the Stability and Diversity of the Nigerian Financial Service Sector," MPRA Paper 100995, University Library of Munich, Germany.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
  • Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
• Riaz, Samina & Iqbal, Athar & Khan, Muhammad Irfan, 2019. "The Impact of CCC and WC on The Profitability of KMI-30 INDEX," MPRA Paper 103036, University Library of Munich, Germany, revised 30 Dec 2019.
• Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
• Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe, . "Volatility forecasting: the role of internet search activity and implied volatility," Journal of Risk Model Validation, Journal of Risk Model Validation.
  • Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
• Yang, Bill Huajian, 2019. "Resolutions to flip-over credit risk and beyond," MPRA Paper 93389, University Library of Munich, Germany.
• T. Bazhenov & D. Fantazzini, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," Russian Journal of Industrial Economics, MISIS, vol. 12(1).
  • Bazhenov, Timofey & Fantazzini, Dean, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper 93544, University Library of Munich, Germany.
• Jurdi, Doureige & Kim, Jae, 2019. "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper 94028, University Library of Munich, Germany.
• Pierrefeu, Alex, 2019. "A New Adaptive Moving Average (Vama) Technical Indicator For Financial Data Smoothing," MPRA Paper 94323, University Library of Munich, Germany.
• Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
  • Degiannakis, Stavros & Filis, George, 2019. "Oil price volatility forecasts: What do investors need to know?," MPRA Paper 94445, University Library of Munich, Germany.
• Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
  • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
• Xiao, Tim, 2018. "Incremental Risk Charge Methodology," SocArXiv y43dx, Center for Open Science.
  • Xiao, Tim, 2019. "Incremental Risk Charge Methodology," MPRA Paper 94581, University Library of Munich, Germany, revised 08 May 2019.
  • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," arabixiv.org qmcdz, Center for Open Science.
  • Tim Xiao, 2019. "Incremental Risk Charge Methodology," Working Papers hal-02024148, HAL.
  • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," FrenXiv 6b3hu, Center for Open Science.
  • Xiao,Tim, 2019. "Incremental Risk Charge Methodology," EconStor Preprints 201810, ZBW - Leibniz Information Centre for Economics.
• Tim, Xiao, 2019. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 94701, University Library of Munich, Germany.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
• Andrea Bucci, 2020. "Cholesky–ANN models for predicting multivariate realized volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 865-876, September.
  • Bucci, Andrea, 2019. "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper 95137, University Library of Munich, Germany.
• Andrea Bucci, 2020. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Andrea Bucci, 0. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Bucci, Andrea, 2019. "Realized Volatility Forecasting with Neural Networks," MPRA Paper 95443, University Library of Munich, Germany.
• Pierrefeu, Alex, 2019. "Recursive Bands - A New Indicator For Technical Analysis," MPRA Paper 95806, University Library of Munich, Germany.
• Salles, Andre Assis de & Magrath, Raphael Sebastian & Malheiros, Matheus Manzani, 2019. "Determination of Copper Price Expectations in the International Market: Some Important Variables," MPRA Paper 95812, University Library of Munich, Germany, revised 31 Aug 2019.
• Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
  • Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
• Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
  • Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper 95992, University Library of Munich, Germany.
• Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
  • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
• Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight momentum, informational shocks, and late informed trading in China," International Review of Financial Analysis, Elsevier, vol. 66(C).
  • Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper 96784, University Library of Munich, Germany.
• Katsafados, Apostolos G. & Androutsopoulos, Ion & Chalkidis, Ilias & Fergadiotis, Emmanouel & Leledakis, George N. & Pyrgiotakis, Emmanouil G., 2021. "Using textual analysis to identify merger participants: Evidence from the U.S. banking industry," Finance Research Letters, Elsevier, vol. 42(C).
  • Katsafados, Apostolos G. & Androutsopoulos, Ion & Chalkidis, Ilias & Fergadiotis, Emmanouel & Leledakis, George N. & Pyrgiotakis, Emmanouil G., 2019. "Using textual analysis to identify merger participants: Evidence from the U.S. banking industry," MPRA Paper 96893, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolás, 2021. "Forecasting aluminum prices with commodity currencies," Resources Policy, Elsevier, vol. 73(C).
  • Pincheira, Pablo & Hardy, Nicolás, 2019. "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper 97005, University Library of Munich, Germany.
• Lozinskaia, Agata & Saltykova, Anastasiia, 2019. "Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis," MPRA Paper 97308, University Library of Munich, Germany, revised 23 Sep 2019.
• Charles Raoul Tchuinkam Djemo & John Weirstrass Muteba Mwamba & Mathias Mandla Manguzvane, 2021. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," The African Finance Journal, Africagrowth Institute, vol. 23(2), pages 36-49.
  • Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper 97338, University Library of Munich, Germany.
• Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
• Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  • Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
• Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
  • Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019. "Time-Varying Risk Aversion and the Predictability of Bond Premia," Working Papers 201906, University of Pretoria, Department of Economics.
• João Frois Caldeira & Rangan Gupta & Muhammad Tahir Suleman & Hudson S. Torrent, 2021. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4312-4329, December.
  • Joao F. Caldeira & Rangan Gupta & Tahir Suleman & Hudson S. Torrent, 2019. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Working Papers 201911, University of Pretoria, Department of Economics.
• Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers 201912, University of Pretoria, Department of Economics.
• Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
  • Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers 201967, University of Pretoria, Department of Economics.
• Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
  • Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers 201972, University of Pretoria, Department of Economics.
• Oguzhan Cepni & I. Ethem Guney & Rangan Gupta & Mark E. Wohar, 2019. "The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States," Working Papers 201973, University of Pretoria, Department of Economics.
• Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2019. "Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?," Working Papers 201980, University of Pretoria, Department of Economics.
• Milan Fičura, 2019. "Forecasting Cross-Section of Stock Returns with Realised Moments," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(2), pages 71-84.
• Milan Fičura, 2019. "Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(4), pages 385-401.
• Milan Fičura, 2019. "Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks," FFA Working Papers 1.001, Prague University of Economics and Business, revised 24 Nov 2019.
• Savvakis C. Savvides, 2019. "Unproductive Debt and the Impairment of the Real Economy," Development Discussion Papers 2019-10, JDI Executive Programs.
• Savvakis C. Savvides, 2019. "Collateral Damage," Development Discussion Papers 2019-13, JDI Executive Programs.
• Gustavo Cabrera Gonzalez & Adrian de Leon Arias, 2019. "Modelacion markoviana para identificar la dinamica y pronostico del indice de produccion industrial en Mexico de 1980 a 2018," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 16(2), pages 23-41, Julio-Dic.
• J. James Reade & Carl Singleton & Alasdair Brown, 2021. "Evaluating strange forecasts: The curious case of football match scorelines," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(2), pages 261-285, May.
  • J. James Reade & Carl Singleton & Alasdair Brown, 2019. "Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines," Economics Discussion Papers em-dp2019-18, Department of Economics, University of Reading, revised 01 Aug 2020.
• Ivan Jaccard & Frank Smets, 2020. "Structural Asymmetries and Financial Imbalances in the Eurozone," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 73-102, April.
  • Ivan Jaccard & Frank Smets, 2019. "Online Appendix to "Structural Asymmetries and Financial Imbalances in the Eurozone"," Online Appendices 18-135, Review of Economic Dynamics.
• Ivan Jaccard & Frank Smets, 2020. "Structural Asymmetries and Financial Imbalances in the Eurozone," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 73-102, April.
  • Ivan Jaccard & Frank Smets, 2019. "Code and data files for "Structural Asymmetries and Financial Imbalances in the Eurozone"," Computer Codes 18-135, Review of Economic Dynamics.
• Jaccard, Ivan & Smets, Frank, 2017. "Structural asymmetries and financial imbalances in the eurozone," Working Paper Series 2076, European Central Bank.
  • Ivan Jaccard, 2019. "Structural Asymmetries and Financial Imbalances," 2019 Meeting Papers 988, Society for Economic Dynamics.
• Rados³aw Pastusiak & Jakub Keller, 2019. "Determinants of occurrence of excessive optimism among analysts of the Warsaw Stock Exchange," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 259-275.
• Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  • Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
  • Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023. "Commodity price uncertainty as a leading indicator of economic activity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
  • Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
  • Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
• Chamil W Senarathne, 2019. "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 26(1), pages 45-70.
• Dean Fantazzini & Tamara Shangina, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
  • Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper 95992, University Library of Munich, Germany.
• Artur Nagapetyan, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.
• Omer Iskenderoglu & Saffet Akdag, 2019. "Türkiye’de Reel Konut Fiyatlarında Balonların Varlığı Üzerine Uygulamalı Bir Analiz (An Applied Analysis on the Presence of Price Bubbles of Real Estate Prices in Turkey)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(5), pages 1085-1093.
• Nurwahida Yaakub & Mohamed Sherif, 2019. "Performance of initial public offerings (IPOs): the case of Shariah-compliant companies," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 27, pages 65-76.
• Yu-Ho Chi & David A Ziebart & Terry Campbell, 2019. "Option Compensation and Optimistic Bias in Management’s Earnings Forecasts," Journal of Finance and Accounting Research, University of Management and Technology, Lahore, vol. 1(2), pages 1-26.
• Asaad Alahrezaee & Ali falahati & Kiomars Soheily, 2019. "Portfolio Optimization Using Three-Objective Particle Swarm Optimization," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(4), pages 31-52.
• Mohammad Mehdi Bargi Osguie & Reza Saghafi Killvana, 2019. "An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(4), pages 143-172.
• Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2022. "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]," Journal of Financial Econometrics, Oxford University Press, vol. 20(1), pages 160-186.
  • Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2019. "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks," Economics and Statistics Working Papers 7-2019, Singapore Management University, School of Economics.
• Davor Mance & Bojana Olgic Drazenovic & Stella Suljic Nikolaj, 2019. "Croatian Kuna: Money, Or Just A Currency? Evidence From The Interbank Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 10(2), pages 149-161.
• Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN & Iulia LUPU, 2019. "Nonlinear Modeling of Financial Stability Using Default Probabilities from the Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 19-37, March.
• Wali ULLAH, 2019. "The Role of No-Arbitrage Restriction in Term Structure Model in the Context of an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 44-66, December.
• Meysam KAVIANI & Parviz SAEEDI & Hosein DIDEHKHANI & Seyed Fakhreddin FAKHREHOSSEINI, 2019. "Government Expenditure, Risk and Return: A Framework for a New Keynesian Model in the Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-24, December.
• Jinyoung YU & Doojin RYU, 2019. "Predicting Banks’ Subordinated Bond Issuances," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 87-99, December.
• Abramov, Alexander E. (Абрамов, Александр) & Radygin, Alexander D. (Радыгин, Александр) & Chernova, Maria I. (Чернова, Мария), 2019. "Efficiency in Portfolio Management of Equity Funds and Methods of Its Evaluation [Эффективность Управления Портфелями Паевых Инвестиционных Фондов Акций И Ее Оценка]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 8-47, August.
• Oana Mădălina POPESCU, 2019. "Investor Sentiment on the Stock Market using Artificial Neural Networks," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 20(5), pages 508-518, December.
• Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  • Harald Kinateder & Vassilios G. Papavassiliou, 2019. "Sovereign bond return prediction with realized higher moments," Open Access publications 10197/11286, Research Repository, University College Dublin.
• Kriti Kulshrestha & Saumitra N. Bhaduri, 2019. "The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 167-182, August.
• Suparna Nandy (Pal) & Arup Kr. Chattopadhyay, 2019. "‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 183-212, August.
• V. Minasyan B. & D. Ivko G. & В. Минасян Б. & Д. Ивко Г., 2019. "Анализ модельного риска использования технологии мультипликаторов при оценке акций российских компаний // Model Risk Analysis of Multiplier Technology Applied at Stock Valuation of Russian Companies," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(6), pages 91-116.
• Andy Cheng, 2019. "Pairs Trading with Crypto: Evidence from Bitcoin," Proceedings of International Academic Conferences 9211529, International Institute of Social and Economic Sciences.
• Ali Bendob & Naima Bentouir, 2019. "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(11), pages 79-95, January.
• Cavalcante-Filho, Elias & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2022. "US risk premia under emerging markets constraints," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 217-230.
  • Elias Cavalcante-Filho, Fernando Chague, Rodrigo De Losso, Bruno Giovannetti, 2019. "US Risk Premia under Emerging Markets Constraints," Working Papers, Department of Economics 2019_28, University of São Paulo (FEA-USP).
• Zeineb Affes & Rania Hentati-Kaffel, 2019. "Forecast bankruptcy using a blend of clustering and MARS model: case of US banks," Annals of Operations Research, Springer, vol. 281(1), pages 27-64, October.
• N. Banholzer & S. Heiden & D. Schneller, 2019. "Exploiting investor sentiment for portfolio optimization," Business Research, Springer;German Academic Association for Business Research, vol. 12(2), pages 671-702, December.
• Anna Rita Bacinello & Ivan Zoccolan, 2019. "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 21-49, June.
• Fabien Le Floc’h & Cornelis W. Oosterlee, 2019. "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, vol. 7(1), pages 1-21, March.
  • Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
• Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019. "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 449-469, December.
• Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
• Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
• Takanobu Mizuta & Sadayuki Horie, 2019. "Mechanism by which active funds make market efficient investigated with agent-based model," Evolutionary and Institutional Economics Review, Springer, vol. 16(1), pages 43-63, June.
• Kefan Xie & Zimei Liu & Long Chen & Weiyong Zhang & Sishi Liu & Sohail S. Chaudhry, 2019. "Success factors and complex dynamics of crowdfunding: An empirical research on Taobao platform in China," Electronic Markets, Springer;IIM University of St. Gallen, vol. 29(2), pages 187-199, June.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019. "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(1), pages 61-70, March.
• Mario Hefter & Arnulf Jentzen, 2019. "On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes," Finance and Stochastics, Springer, vol. 23(1), pages 139-172, January.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin 1444, DIW Berlin, German Institute for Economic Research.
• James Francisco & Evan Moore, 2019. "Betting with house money: reverse line movement based strategies in college football totals markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 813-827, October.
• Saffet Akdağ & İlker Kiliç & Hakan Yildirim, 2019. "Does VIX scare stocks of tourism companies?," Letters in Spatial and Resource Sciences, Springer, vol. 12(3), pages 215-232, December.
• Jerzy Marcinkowski, 2019. "Dynamics of the Financial Markets and the Wealth Concentration," Springer Proceedings in Business and Economics, in: Waldemar Tarczyński & Kesra Nermend (ed.), Effective Investments on Capital Markets, chapter 0, pages 323-332, Springer.
• Matthias Demmer & Paul Pronobis & Teri Lombardi Yohn, 2019. "Mandatory IFRS adoption and analyst forecast accuracy: the role of financial statement-based forecasts and analyst characteristics," Review of Accounting Studies, Springer, vol. 24(3), pages 1022-1065, September.
• Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2018. "Pockets of risk in European Housing Markets: then and now," Research Technical Papers 12/RT/18, Central Bank of Ireland.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," ESRB Working Paper Series 87, European Systemic Risk Board.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," Working Paper Series 2277, European Central Bank.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics 125, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  • Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
• Irina Maslova & Boris Maslov & Irina Korostelkina & Liudmila Popova, 2019. "Model of statistical economic profile of innovative biomedical product value formation and update," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(1), pages 471-483, September.
• Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
  • Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017. "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP) dp-619, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Richard Deaves & Jin Lei & Michael Schröder, 2019. "Forecaster Overconfidence and Market Survey Performance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(2), pages 173-194, April.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Leibniz Centre for European Economic Research.
  • Deaves, Richard & Lei, Jin & Schroeder, Michael, 2015. "Forecaster overconfidence and market survey performance," FinMaP-Working Papers 40, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," Frankfurt School - Working Paper Series 218, Frankfurt School of Finance and Management.
• Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019. "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, vol. 19(10), pages 1705-1726, October.
  • Xu, Xiu & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2016. "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers 2016-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Halil Ibrahim Korkmaz & Doruk Kucuksarac & Yigit Onay & Ahmet Senol, 2019. "Estimation of FX Option Implied Density Functions: Nonparametric-Malz Approach," Working Papers 1903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
  • Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
• Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
  • Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
• Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
  • Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Huma Nawaz & Maira Abrar & Asma Salman & Syed Muhammad Hassan Bukhar, 2019. "Beyond Finance: Impact Of Islamic Finance On Economic Growth In Pakistan," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 11(1), pages 8-18, April.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
  • Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
  • Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Emilio Carnevali & Matteo Deleidi & Riccardo Pariboni & Marco Veronese Passarella, 2019. "Cross-Border Financial Effects of Global Warming In a Two-Area Ecological SFC Model," UMASS Amherst Economics Working Papers 2019-02, University of Massachusetts Amherst, Department of Economics.
• Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
• Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
• Marco Corazza & Giovanni Fasano & Riccardo Gusso & Raffaele Pesenti, 2019. "A comparison among Reinforcement Learning algorithms in financial trading systems," Working Papers 2019:33, Department of Economics, University of Venice "Ca' Foscari".
• KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
• JAKI, Alexander & AITSIDIS, Charalampos & PANAGIOTOPOULOS, Fotios & MADITINOS, Dimitrios, 2019. "Development Of A Financial Model In A Business: The Case Of A Company In Plastics Industry," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(4), pages 21-38, December.
• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
  • Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
  • Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
• Ptak-Chmielewska Aneta & Matuszyk Anna, 2019. "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(3), pages 40-49, September.
• Prusak Błażej, 2019. "Corporate Bankruptcy Prediction in Poland Against the Background of Foreign Experience," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 15(1), pages 10-19, March.
• Pitera Rafał, 2019. "Credibility of foreign Discriminatory Models in Relation to the Assessment of the Financial Condition of Polish Enterprises. Case Study of E. Altman’s Method," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 15(3), pages 21-28, September.
• Bogołębska Justyna, 2019. "The Dividend Policy of Companies Listed on the Warsaw Stock Exchange," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(2), pages 17-27, June.
• Pasieczna Aleksandra Helena, 2019. "Monte Carlo Simulation Approach to Calculate Value at Risk: Application to WIG20 and MWIG40," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(2), pages 61-75, June.
• Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
• Piekunko-Mantiuk Iwona, 2019. "Parameterized Trade on the Futures Market on the WIG20," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 114-125, June.
• Senarathne Chamil W. & Long Wei, 2019. "Industry Competition and Common Stock Returns," Management Sciences. Nauki o Zarządzaniu, Sciendo, vol. 24(3), pages 24-35, September.
• Senarathne Chamil W., 2019. "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Sciendo, vol. 11(1), pages 43-49, June.
• Shehu U.R. Aliyu, 2019. "Do Presidential Elections Affect Stock Market Returns In Nigeria?," West African Journal of Monetary and Economic Integration, West African Monetary Institute, vol. 19(1), pages 40-56, June.
  • Shehu Usman Rano, Aliyu, 2019. "Do presidential elections affect stock market returns in Nigeria?," MPRA Paper 95466, University Library of Munich, Germany, revised 07 Aug 2019.
• Ślepaczuk Robert & Zenkova Maryna, 2018. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Central European Economic Journal, Sciendo, vol. 5(52), pages 186-205, January.
  • Maryna Zenkova & Robert Ślepaczuk, 2019. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Working Papers 2019-02, Faculty of Economic Sciences, University of Warsaw.
• Latoszek Michał & Ślepaczuk Robert, 2020. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Economics and Business Review, Sciendo, vol. 6(1), pages 46-81, March.
  • Michał Latoszek & Robert Ślepaczuk, 2019. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers 2019-14, Faculty of Economic Sciences, University of Warsaw.
• Kamil Korzeń & Robert Ślepaczuk, 2019. "Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach," Working Papers 2019-17, Faculty of Economic Sciences, University of Warsaw.
• Cangoz, Mehmet Coskun & Sulla, Olga & Wang, ChunLan & Dychala, Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," MPRA Paper 100311, University Library of Munich, Germany.
  • Cangoz,Mehmet Coskun & Sulla,Olga & Wang,ChunLan & Dychala,Christopher Benjamin, 2019. "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," Policy Research Working Paper Series 8728, The World Bank.
• Amat Adarov & Richard Grieveson & Mario Holzner & Olga Pindyuk & Hermine Vidovic, 2019. "Unsecured Lending in Central and Southeast Europe," wiiw Market Report 1, The Vienna Institute for International Economic Studies, wiiw.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2019. "The term structure of systematic and idiosyncratic risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 435-460, April.
  • Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
  • Jiti Gao & Kai Xia & Huanjun Zhu, 2019. "Heterogeneous Panel Data Models with Cross-Sectional Dependence," Working Papers 2019-07-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
• Jin Yeub Kim & Yongjun Kim & Myungkyu Shim, 2023. "Do Financial Analysts Herd?," Global Economic Review, Taylor & Francis Journals, vol. 52(3), pages 202-219, July.
  • Jin Yeub Kim & Yongjun Kim & Myungkyu Shim, 2019. "Do Financial Analysts Herd?," Working papers 2019rwp-161, Yonsei University, Yonsei Economics Research Institute.
• Karlo Kauko & Eero Tölö, 2019. "Banking Crisis Prediction with Differenced Relative Credit," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 65(4), pages 277-297.
  • Kauko, Karlo & Tölö, Eero, 2019. "Banking crisis prediction with differenced relative credit," BoF Economics Review 4/2019, Bank of Finland.
• Barasinska, Nataliya & Haenle, Philipp & Koban, Anne & Schmidt, Alexander, 2019. "Stress testing the German mortgage market," Discussion Papers 17/2019, Deutsche Bundesbank.
• Baines, Joseph & Hager, Sandy Brian, 2019. "Financial Crisis, Inequality, and Capitalist Diversity: A Critique of the Capital as Power Model of the Stock Market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Online Fi.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and log-period power laws in the cryptocurrencies market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
• Xu, Jiahua, 2019. "Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)," International Journal for Re-Views in Empirical Economics (IREE), ZBW - Leibniz Information Centre for Economics, vol. 3, pages 1-20.
• Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Junjie Hu & Wolfgang Karl Hardle & Weiyu Kuo, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," Papers 1912.05228, arXiv.org, revised Dec 2021.
  • Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," IRTG 1792 Discussion Papers 2019-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Demary, Markus, 2019. "IW Financial Expert Survey: Second Quarter 2019," IW-Reports 15/2019, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2019. "IW Financial Expert Survey: Fourth Quarter 2019," IW-Reports 37/2019, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2019. "IW Financial Expert Survey: First Quarter 2019," IW-Reports 4/2019, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
  • Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics 125, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2019. "Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models," QBS Working Paper Series 2019/10, Queen's University Belfast, Queen's Business School.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2020. "Improving forecast accuracy of financial vulnerability: PLS factor model approach," Economic Modelling, Elsevier, vol. 88(C), pages 341-355.
  • Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Ko, Kyunghwan, 2018. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper 89449, University Library of Munich, Germany.
• Sarthak Behera & Hyeongwoo Kim, 2019. "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series auwp2019-04, Department of Economics, Auburn University.
• T. Bazhenov & D. Fantazzini, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," Russian Journal of Industrial Economics, MISIS, vol. 12(1).
  • Bazhenov, Timofey & Fantazzini, Dean, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper 93544, University Library of Munich, Germany.
• Daniel J. Wilson, 2019. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses," American Economic Review: Insights, American Economic Association, vol. 1(3), pages 373-388, December.
  • Daniel J. Wilson, 2017. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses," Working Paper Series 2017-13, Federal Reserve Bank of San Francisco.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
• Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
• Niyazi TELÇEKEN & Murat KIYILAR & Eyüp KADIOĞLU, 2019. "Volatilite Endeksleri: Gelişimi, Türleri, Uygulamaları ve TRVIX Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 4(2), pages 204-228.
• Stanimir Ivanov Kabaivanov & Veneta Markovska, 2019. "Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 66(2), pages 131-139, June.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019. "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers 440, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Pigini, Claudia, 2021. "Penalized maximum likelihood estimation of logit-based early warning systems," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1156-1172.
  • Claudia Pigini, 2019. "Penalized Maximum Likelihood Estimation Of Logit-Based Early Warning Systems," Working Papers 441, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Jean Paul Rabanal & Aleksei Chernulich & John Horowitz & Olga A. Rud & Manizha Sharifova, 2019. "Market timing under public and private information," Working Papers 151, Peruvian Economic Association.
• Baruník Jozef & Fišer Pavel, 2024. "Co-Jumping of Treasury Yield Curve Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
  • Jozef Barunik & Pavel Fiser, 2019. "Co-jumping of Treasury Yield Curve Rates," Papers 1905.01541, arXiv.org.
• Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
• Tim Leung & Brian Ward, 2020. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 21, pages 557-596, World Scientific Publishing Co. Pte. Ltd..
  • Tim Leung & Brian Ward, 2019. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers 1907.00293, arXiv.org.
• Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
  • Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
• Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
  • Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
• Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," IRTG 1792 Discussion Papers 2019-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  • Junjie Hu & Wolfgang Karl Hardle & Weiyu Kuo, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," Papers 1912.05228, arXiv.org, revised Dec 2021.
• Zobia Israr Ahmed & Khalid Mustafa, 2019. "Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 111-132, June.
• Minjae Park & Mi Lim Lee & Jinpyo Lee, 2019. "Predicting Stock Market Indices Using Classification Tools," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(2), pages 243-256, February.
• Gergana Taneva, 2019. "An analysis and a forecast of the cryptomarket based on the ARIMA model," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 66-84.
• Pablo Aguilar & Samuel Hurtado & Stephan Fahr & Eddie Gerba, 2019. "Quest for robust optimal macroprudential policy," Working Papers 1916, Banco de España.
  • Aguilar, Pablo & Fahr, Stephan & Gerba, Eddie & Hurtado, Samuel, 2020. "Quest for Robust Optimal Macroprudential Policy," Dynare Working Papers 53, CEPREMAP.
• Wilmar Cabrera-Rodríguez & Santiago Segovia-Baquero & Juan Sebastián Mariño-Montaña & Eduardo Yanquen, 2019. "Probabilidad de incumplimiento de entidades financieras colombianas: una aproximación estructural," Borradores de Economia 1097, Banco de la Republica de Colombia.
• Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
• Ingo Fender & Mike McMorrow & Vahe Sahakyan & Omar Zulaica, 2019. "Green bonds: the reserve management perspective," BIS Quarterly Review, Bank for International Settlements, September.
• Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2024. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," Journal of Financial Stability, Elsevier, vol. 73(C).
  • Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," CEPR Discussion Papers 14259, C.E.P.R. Discussion Papers.
  • Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers 834, Bank for International Settlements.
• Koresh Galil & Neta Gilat, 2019. "Predicting Default More Accurately: To Proxy or Not to Proxy for Default?," International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 731-758, December.
  • Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  • Koresh Galil & Neta Gilat, 2018. "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers 1801, Ben-Gurion University of the Negev, Department of Economics.
• Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
  • Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
  • Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
• Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
  • Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
  • Martin, Ian & Wagner, Christian, 2016. "What is the expected return on a stock?," LSE Research Online Documents on Economics 118957, London School of Economics and Political Science, LSE Library.
  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
  • Martin, Ian & Wagner, Christian, 2019. "What is the expected return on a stock?," LSE Research Online Documents on Economics 90158, London School of Economics and Political Science, LSE Library.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
  • Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
  • Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
• Senarathne Chamil W., 2019. "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 43-49, June.
• Sun-Joong Yoon, 2019. "Determinants of Variance Risk Premium (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 25(1), pages 1-33, March.
• René Garcia & Nour Meddahi, 2019. "Prime de risque et prix du risque sur les actions," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 199-211.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Monash Econometrics and Business Statistics Working Papers 4/19, Monash University, Department of Econometrics and Business Statistics.
  • Cheng, T. & Gao, J. & Linton, O., 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics 1932, Faculty of Economics, University of Cambridge.
• Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
  • Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
• Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
  • Guglielmo Maria Caporale & Alex Plastun, 2019. "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series 7917, CESifo.
• Roni Michaely & Amir Rubin & Dan Segal & Alexander Vedrashko, 2019. "Lured by the Consensus," Swiss Finance Institute Research Paper Series 19-06, Swiss Finance Institute, revised Mar 2019.
• Paul Schneider, 2019. "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series 19-17, Swiss Finance Institute.
• Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019. "A Flexible Regime Switching Model for Asset Returns," Swiss Finance Institute Research Paper Series 19-27, Swiss Finance Institute, revised May 2019.
• Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
• Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019. "A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs," Swiss Finance Institute Research Paper Series 19-51, Swiss Finance Institute.
• Altan Pazarbasi & Paul Schneider & Grigory Vilkov, 2019. "Sentimental Recovery," Swiss Finance Institute Research Paper Series 19-57, Swiss Finance Institute.
• Germ√°n Eduardo Gonz√°lez, 2019. "An√°lisis de sentimientos de noticias e inversionistas en el mercado burs√°til," Documentos CEDE 17375, Universidad de los Andes, Facultad de Economía, CEDE.
• Xiomara Esther Vazquez Carrazana & Gilberto Jos� Miranda, 2019. "Relación entre indicadores económicos y precio de acciones en empresas brasilenas," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, vol. 27(2), pages 51-66.
• Edwin Alexander Veloza Moreno, 2019. "Aplicación del modelo estocástico de difusion -salto de merton para la simulación del valor del índice colcap," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-23.
• BAUWENS Luc, & XU Yongdeng,, 2019. "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE 2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Tomasz Sosnowski & Anna Wawryszuk-Misztal, 2019. "Diversity on management and supervisory board and accuracy of management earnings forecasts in IPO prospectuses," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 18(3), pages 347-363, September.
• Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  • Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  • Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
  • Tobias Adrian & Daniel Stackman & Erik Vogt, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.
  • Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
• Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
• Josh Davis & Alan M. Taylor, 2022. "The Leverage Factor: Credit Cycles and Asset Returns," Management Science, INFORMS, vol. 68(10), pages 7350-7361, October.
  • Josh Davis & Alan M. Taylor, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," NBER Working Papers 26435, National Bureau of Economic Research, Inc.
  • Taylor, Alan M. & Davis, Josh, 2019. "The Leverage Factor: Credit Cycles and Asset Returns," CEPR Discussion Papers 14115, C.E.P.R. Discussion Papers.
• Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
  • Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
• Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2024. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," Journal of Financial Stability, Elsevier, vol. 73(C).
  • Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers 834, Bank for International Settlements.
  • Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2019. "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," CEPR Discussion Papers 14259, C.E.P.R. Discussion Papers.
• Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
• Kuo-Hwa Chang & Michael Nayat Young, 2019. "Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 817-845, November.
• Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
  • Fuwei Jiang & Joshua Lee & Xiumin Martin & Guofu Zhou, 2019. "Manager sentiment and stock returns," CEMA Working Papers 677, China Economics and Management Academy, Central University of Finance and Economics.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
  • Barnett, William & Su, Liting, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • William A. Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
• Karlo Kauko & Eero Tölö, 2019. "Banking Crisis Prediction with Differenced Relative Credit," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 65(4), pages 277-297.
  • Kauko, Karlo & Tölö, Eero, 2019. "Banking crisis prediction with differenced relative credit," BoF Economics Review 4/2019, Bank of Finland.
• Karlo Kauko & Eero Tölö, 2019. "Banking Crisis Prediction with Differenced Relative Credit," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 65(4), pages 277-297.
  • Kauko, Karlo & Tölö, Eero, 2019. "Banking crisis prediction with differenced relative credit," BoF Economics Review 4/2019, Bank of Finland.
• Михаела Монова, 2019. "Новите Законодателните Промени По Застраховка „Гражданска Отговорност” На Автомобилистите И Влиянието Им Върху Финансовата Стабилност На Българския Застрахователен Пазар," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 15(15 Year 2), pages 125-154.
• Анелия Пенева, 2019. "Анализ На Взаимовръзките Между Капиталовите И Валутните Пазари," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 15(15 Year 2), pages 29-50.
• Стефан Симеонов & Теодор Тодоров & Даниел Николаев, 2019. "Развитие На Честотния Анализ На Променливостта В Модел За Прогнозиране Тренда На Финансовите Пазари И Сравнителна Емпирична Оценка С Техническия Анализ," Electronic magazine "Dialogue", D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 37-70.
• Lang, Jan Hannes & Forletta, Marco, 2019. "Bank capital-at-risk: measuring the impact of cyclical systemic risk on future bank losses," Macroprudential Bulletin, European Central Bank, vol. 9.
• Lang, Jan Hannes & Izzo, Cosimo & Fahr, Stephan & Ruzicka, Josef, 2019. "Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises," Occasional Paper Series 219, European Central Bank.
• Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2021. "CoMap: Mapping Contagion in the Euro Area Banking Sector," Journal of Financial Stability, Elsevier, vol. 53(C).
  • Mehmet Ziya Gorpe & Giovanni Covi & Christoffer Kok, 2019. "CoMap: Mapping Contagion in the Euro Area Banking Sector," IMF Working Papers 2019/102, International Monetary Fund.
  • Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2019. "CoMap: mapping contagion in the euro area banking sector," Working Paper Series 2224, European Central Bank.
• Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2018. "Pockets of risk in European Housing Markets: then and now," Research Technical Papers 12/RT/18, Central Bank of Ireland.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," Working Paper Series 2277, European Central Bank.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," ESRB Working Paper Series 87, European Systemic Risk Board.
• Maqui, Eduardo & Sydow, Matthias & Gourdel, Régis, 2019. "Investment funds under stress," Working Paper Series 2323, European Central Bank.
• Sai Ma & Shaojun Zhang, 2024. "Housing Cycles and Exchange Rates," Management Science, INFORMS, vol. 70(9), pages 5646-5666, September.
  • Ma, Sai & Zhang, Shaojun, 2019. "Housing Cycle and Exchange Rates," Working Paper Series 2019-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Stulz, Rene M., 2019. "Public versus Private Equity," Working Paper Series 2019-27, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Kalai Lamia & Kasraoui Naziha, 2019. "Financial Cointegration and the Vector Error Correction Model: The Case of MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 9(1), pages 160-168.
• Chin-Sheng Huang & Yi-Sheng Liu, 2019. "Machine Learning on Stock Price Movement Forecast: The Sample of the Taiwan Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 189-201.
• Ra l de Jes s-Guti rrez & Roberto J. Santill n-Salgado, 2019. "Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 127-141.
• Arindam Banerjee, 2019. "Forecasting of India VIX as a Measure of Sentiment," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 268-276.
• Rama Krishna Yelamanchili, 2019. "Impact of Consumer Sentiment on Defensive and Aggressive Stock Returns: Indian Evidence," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 109-114.
• Nidhi Malhotra & Saumya Gupta, 2019. "Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market," International Journal of Economics and Financial Issues, Econjournals, vol. 9(6), pages 208-215.
• Onder Buberkoku, 2019. "Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 199-215.
• Akono, Henri & Karim, Khondkar & Nwaeze, Emeka, 2019. "Analyst rounding of EPS forecasts and stock recommendations," Advances in accounting, Elsevier, vol. 44(C), pages 68-80.
• Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
• Frank, Murray Z. & Nezafat, Mahdi, 2019. "Testing the credit-market-timing hypothesis using counterfactual issuing dates," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 187-207.
• Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
• Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
• Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
• Oh, Sekyung & Kee, Hyukdo & Park, Kinam, 2019. "Tail risk under price limits," Economic Modelling, Elsevier, vol. 77(C), pages 113-123.
• Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
• Koubaa, Yosra & Slim, Skander, 2019. "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, vol. 82(C), pages 168-184.
• Chen, An-Sing & Chang, Hung-Chou & Cheng, Lee-Young, 2019. "Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 1-12.
• Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
• Tissaoui, Kais & Azibi, Jamel, 2019. "International implied volatility risk indexes and Saudi stock return-volatility predictabilities," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 65-84.
• Kang, Hankil & Ryu, Doojin, 2019. "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 657-668.
• Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
• Su, Zhi & Fang, Tong & Yin, Libo, 2019. "Understanding stock market volatility: What is the role of U.S. uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 582-590.
• Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019. "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 819-834.
• Salisu, Afees A. & Isah, Kazeem & Akanni, Lateef O., 2019. "Improving the predictability of stock returns with Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 857-867.
• Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
  • José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
• Uddin, Gazi Salah & Gençay, Ramazan & Bekiros, Stelios & Sahamkhadam, Maziar, 2019. "Enhancing the predictability of crude oil markets with hybrid wavelet approaches," Economics Letters, Elsevier, vol. 182(C), pages 50-54.
• Delgado-Mohatar, Oscar & Felis-Rota, Marta & Fernández-Herraiz, Carlos, 2019. "The Bitcoin mining breakdown: Is mining still profitable?," Economics Letters, Elsevier, vol. 184(C).
• Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
  • Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
  • Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
• Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
• Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
  • Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
• Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
• Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
• Ma, Xiaohan & Samaniego, Roberto, 2019. "Deconstructing uncertainty," European Economic Review, Elsevier, vol. 119(C), pages 22-41.
• Zhi, Tianhao & Li, Zhongfei & Jiang, Zhiqiang & Wei, Lijian & Sornette, Didier, 2019. "Is there a housing bubble in China?," Emerging Markets Review, Elsevier, vol. 39(C), pages 120-132.
• Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
  • Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2019. "Using extracted forward rate term structure information to forecast foreign exchange rates," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 1-14.
• Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
• Panopoulou, Ekaterini & Souropanis, Ioannis, 2019. "The role of technical indicators in exchange rate forecasting," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 197-221.
• Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
• Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
• Westerlund, Joakim & Sharma, Susan Sunila, 2019. "Panel evidence on the ability of oil returns to predict stock returns in the G7 area," Energy Economics, Elsevier, vol. 77(C), pages 3-12.
• Ji, Qiang & Liu, Bing-Yue & Fan, Ying, 2019. "Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model," Energy Economics, Elsevier, vol. 77(C), pages 80-92.
• Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
• Christensen, Troels Sønderby & Pircalabu, Anca & Høg, Esben, 2019. "A seasonal copula mixture for hedging the clean spark spread with wind power futures," Energy Economics, Elsevier, vol. 78(C), pages 64-80.
• Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, vol. 79(C), pages 111-129.
  • Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
• Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019. "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, vol. 80(C), pages 423-433.
• Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019. "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, vol. 81(C), pages 1109-1120.
• Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
• Liu, Jingzhen & Kemp, Alexander, 2019. "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, vol. 81(C), pages 672-686.
• Kim, Jae H. & Rahman, Md Lutfur & Shamsuddin, Abul, 2019. "Can energy prices predict stock returns? An extreme bounds analysis," Energy Economics, Elsevier, vol. 81(C), pages 822-834.
• Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Global connectedness of MSCI energy equity indices: A system-wide network approach," Energy Economics, Elsevier, vol. 84(C).
• Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019. "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, vol. 84(C).
• Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
• Ji, Qiang & Bouri, Elie & Lau, Chi Keung Marco & Roubaud, David, 2019. "Dynamic connectedness and integration in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 257-272.
• Shahzad, Syed Jawad Hussain & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2019. "Is Bitcoin a better safe-haven investment than gold and commodities?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 322-330.
• Tissaoui, Kais, 2019. "Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 232-249.
• Yin, Anwen, 2019. "Out-of-sample equity premium prediction in the presence of structural breaks," International Review of Financial Analysis, Elsevier, vol. 65(C).
• Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight momentum, informational shocks, and late informed trading in China," International Review of Financial Analysis, Elsevier, vol. 66(C).
  • Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper 96784, University Library of Munich, Germany.
• Gupta, Rangan & Pierdzioch, Christian & Vivian, Andrew J. & Wohar, Mark E., 2019. "The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests," Finance Research Letters, Elsevier, vol. 29(C), pages 315-322.
  • Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018. "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers 201809, University of Pretoria, Department of Economics.
• Wong, Alfred, 2019. "Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015," Finance Research Letters, Elsevier, vol. 29(C), pages 7-16.
• Chu, Xiaojun & Gu, Zherong & Zhou, Haigang, 2019. "Intraday momentum and reversal in Chinese stock market," Finance Research Letters, Elsevier, vol. 30(C), pages 83-88.
• Kaiser, Lars, 2019. "Seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 31(C).
• Geuder, Julian & Kinateder, Harald & Wagner, Niklas F., 2019. "Cryptocurrencies as financial bubbles: The case of Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
• Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L., 2019. "Intraday information from S&P 500 Index futures options," Journal of Financial Markets, Elsevier, vol. 42(C), pages 29-55.
• BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section," Journal of Financial Markets, Elsevier, vol. 44(C), pages 91-118.
• Lanfear, Matthew G. & Lioui, Abraham & Siebert, Mark G., 2019. "Market anomalies and disaster risk: Evidence from extreme weather events," Journal of Financial Markets, Elsevier, vol. 46(C).
• Gonçalves, Rui & Ribeiro, Vitor Miguel & Pereira, Fernando Lobo & Rocha, Ana Paula, 2019. "Deep learning in exchange markets," Information Economics and Policy, Elsevier, vol. 47(C), pages 38-51.
• Kok, Christoffer & Mirza, Harun & Pancaro, Cosimo, 2019. "Macro stress testing euro area banks’ fees and commissions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 97-119.
  • Kok, Christoffer & Pancaro, Cosimo & Mirza, Harun, 2017. "Macro stress testing euro area banks' fees and commissions," Working Paper Series 2029, European Central Bank.
• Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  • Harald Kinateder & Vassilios G. Papavassiliou, 2019. "Sovereign bond return prediction with realized higher moments," Open Access publications 10197/11286, Research Repository, University College Dublin.
• Daly, Kevin & Batten, Jonathan A. & Mishra, Anil V. & Choudhury, Tonmoy, 2019. "Contagion risk in global banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
• Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  • Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
• Knotek, Edward S. & Zaman, Saeed, 2019. "Financial nowcasts and their usefulness in macroeconomic forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
  • Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
• Cont, Rama & Schaanning, Eric, 2019. "Monitoring indirect contagion," Journal of Banking & Finance, Elsevier, vol. 104(C), pages 85-102.
• Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
  • Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
• Gupta, Jairaj & Chaudhry, Sajid, 2019. "Mind the tail, or risk to fail," Journal of Business Research, Elsevier, vol. 99(C), pages 167-185.
• Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
• Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
  • Fuwei Jiang & Joshua Lee & Xiumin Martin & Guofu Zhou, 2019. "Manager sentiment and stock returns," CEMA Working Papers 677, China Economics and Management Academy, Central University of Finance and Economics.
• Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Calomiris, Charles W. & Mamaysky, Harry, 2019. "How news and its context drive risk and returns around the world," Journal of Financial Economics, Elsevier, vol. 133(2), pages 299-336.
• Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
  • Eric JONDEAU & Qunzi ZHANG, 2015. "Average Skewness Matters!," Swiss Finance Institute Research Paper Series 15-47, Swiss Finance Institute.
• Ederington, Louis & Guan, Wei & Yang, Lisa (Zongfei), 2019. "The impact of the U.S. employment report on exchange rates," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 257-267.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "International tail risk and World Fear," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 244-259.
  • Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019. "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 210-227.
• Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  • José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
• Cronin, David & Dunne, Peter G., 2019. "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 49-66.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019. "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 93-110.
• Khan, Mostafa Saidur Rahim & Kato, Hideaki Kiyoshi & Bremer, Marc, 2019. "Short sales constraints and stock returns: How do the regulations fare?," Journal of the Japanese and International Economies, Elsevier, vol. 54(C).
• Spelta, A. & Pecora, N. & Rovira Kaltwasser, P., 2019. "Identifying Systemically Important Banks: A temporal approach for macroprudential policies," Journal of Policy Modeling, Elsevier, vol. 41(1), pages 197-218.
• Nassios, Jason & Giesecke, James A. & Dixon, Peter B. & Rimmer, Maureen T., 2019. "Mandated superannuation contributions and the structure of the financial sector in Australia," Journal of Policy Modeling, Elsevier, vol. 41(5), pages 859-881.
• Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
• Salisu, Afees A. & Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach," Resources Policy, Elsevier, vol. 64(C).
• Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
• Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
• Bahrami, Afsaneh & Shamsuddin, Abul & Uylangco, Katherine, 2019. "Are advanced emerging market stock returns predictable? A regime-switching forecast combination approach," Pacific-Basin Finance Journal, Elsevier, vol. 55(C), pages 142-160.
• Lai, Van Son & Ye, Xiaoxia & Zhao, Lu, 2019. "Are market views on banking industry useful for forecasting economic growth?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  • Van Son Lai & Xiaoxia Ye & Lu Zhao, 2018. "Are Market Views on Banking Industry Useful for Forecasting Economic Growth?," Working Papers 2018-001, Department of Research, Ipag Business School.
• Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
• Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
• Shafique, Attayah & Ayub, Usman & Zakaria, Muhammad, 2019. "Don’t let the Greed catch you! Pleonexia rule applied to Pakistan stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 157-168.
• Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
• Sun, Chao & Wang, Chao & Lai, Weike, 2019. "Gait analysis and recognition prediction of the human skeleton based on migration learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 532(C), pages 1-1.
• Efremidze, Levan & Stanley, Darrol J. & Park, Abraham & Wasilewski, Nikolai, 2019. "Empirical implementation of entropy risk factor model: A test on Chilean peso," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 532(C).
• Xiao, Binqing & Yang, Ye & Peng, Xuerong & Fang, Libing, 2019. "Measuring the connectedness of European electricity markets using the network topology of variance decompositions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
• Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "The hidden predictive power of cryptocurrencies and QE: Evidence from US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
• Stoupos, Nikolaos & Kiohos, Apostolos, 2019. "Scandinavia: Towards the European Monetary Union?," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 278-291.
• Balcilar, Mehmet & Gupta, Rangan & Kim, Won Joong & Kyei, Clement, 2019. "The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 150-163.
• Chevapatrakul, Thanaset & Xu, Zhongxiang & Yao, Kai, 2019. "The impact of tail risk on stock market returns: The role of market sentiment," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 289-301.
• Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
• Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
  • Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Yen, Yu-Min, 2019. "Forward-looking information on growth and uncertainty implied by derivative securities: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 62(C), pages 240-266.
• Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.
• Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
• Pönkä, Harri & Zheng, Yi, 2019. "The role of oil prices on the Russian business cycle," Research in International Business and Finance, Elsevier, vol. 50(C), pages 70-78.
• Chaker, Selma, 2019. "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, vol. 50(C), pages 79-105.
• Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
• Landini, S. & Uberti, M. & Casellina, S., 2019. "Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 175-189.
• Wei Han & Yushi Jiang, 2019. "Economic validity analysis of housing reverse mortgages in China," China Finance Review International, Emerald Group Publishing Limited, vol. 9(4), pages 498-520, August.
• Wei Han & Yushi Jiang, 2019. "Economic validity analysis of housing reverse mortgages in China," China Finance Review International, Emerald Group Publishing Limited, vol. 9(4), pages 498-520, August.
• Nurwahida Yaakub & Mohamed Sherif, 2019. "Performance of initial public offerings (IPOs): the case of Shariah-compliant companies," Islamic Economic Studies, Emerald Group Publishing Limited, vol. 27(1), pages 65-76, August.
• Nader Trabelsi, 2019. "Dynamic and frequency connectedness across Islamic stock indexes, bonds, crude oil and gold," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 12(3), pages 306-321, June.
• Salman Ahmed Shaikh & Mohd Adib Ismail & Abdul Ghafar Ismail & Shahida Shahimi & Muhammad Hakimi Mohd. Shafiai, 2019. "Cross section of stock returns onShari’ah-compliant stocks: evidence from Pakistan," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 12(2), pages 282-302, June.
• Nader Trabelsi, 2019. "Dynamic and frequency connectedness across Islamic stock indexes, bonds, crude oil and gold," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 12(3), pages 306-321, June.
• Salman Ahmed Shaikh & Mohd Adib Ismail & Abdul Ghafar Ismail & Shahida Shahimi & Muhammad Hakimi Mohd. Shafiai, 2019. "Cross section of stock returns onShari’ah-compliant stocks: evidence from Pakistan," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 12(2), pages 282-302, June.
• Nader Trabelsi, 2019. "Dynamic and frequency connectedness across Islamic stock indexes, bonds, crude oil and gold," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 12(3), pages 306-321, July.
• Salman Ahmed Shaikh & Mohd Adib Ismail & Abdul Ghafar Ismail & Shahida Shahimi & Muhammad Hakimi Mohd. Shafiai, 2019. "Cross section of stock returns onShari’ah -compliant stocks: evidence from Pakistan," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 12(2), pages 282-302, April.
• Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo.
• Ya Qian & Wolfgang Härdle & Cathy Yi-Hsuan Chen, 2019. "Modelling industry interdependency dynamics in a network context," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 37(1), pages 50-70, December.
• Cicilia A. Harun & Raquela Renanda Nattan, 2019. "Non-core deposit of Indonesian banking," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(2), pages 207-226, August.
• Vovchenko N.G. & Andreeva O.V. & Orobinsky A.S. & Sichev R.A., 2019. "Risk Control in Modeling Financial Management Systems of Large Corporations in the Digital Economy," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(Special 1), pages 3-15.
• Michael Peng & Dongkai Jiang & Yingjie Wang, 2019. "Forecasting Chinese Corporate Bond Defaults: Comparative Study of Market- vs. Accounting-Based Models," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 14(4), pages 536-582, December.
• Imad Chahboun & Nathaniel Hoover, 2019. "Variable Annuities: Underlying Risks and Sensitivities," Supervisory Research and Analysis Working Papers RPA 19-1, Federal Reserve Bank of Boston.
• Jens H. E. Christensen & Mark M. Spiegel, 2019. "Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds," Working Paper Series 2019-15, Federal Reserve Bank of San Francisco.
• Gary S. Anderson & Alena Audzeyeva, 2019. "A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression," Finance and Economics Discussion Series 2019-074, Board of Governors of the Federal Reserve System (U.S.).
• Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  • Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  • Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 2020. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019. "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive 2019_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Marcin Dec, 2019. "From point through density valuation to individual risk assessment in the discounted cash flows method," GRAPE Working Papers 35, GRAPE Group for Research in Applied Economics.
• Alexander M. Karminsky & Ekaterina V. Seryakova, 2019. "Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 119-129, October.
• Ionuț Cosmin Năstase, 2019. "Previziunea evenimentelor extreme pe piețele financiare," Journal of Financial Studies, Institute of Financial Studies, vol. 7(4), pages 125-139, June.
• Căpățînă Adrian-Nicolae, 2019. "Optimizarea portofoliului de actiuni pe piața de capital," Journal of Financial Studies, Institute of Financial Studies, vol. 7(4), pages 216-232, June.
• Dorin Alexandru Badea, 2019. "Managementul portofoliului individual al investitorului în condițiile specifice piețelor românești," Journal of Financial Studies, Institute of Financial Studies, vol. 7(4), pages 245-249, June.
• Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  • Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  • Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  • Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
• Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
  • Fabien Le Floc’h & Cornelis W. Oosterlee, 2019. "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, vol. 7(1), pages 1-21, March.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
• Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional variance forecasts for long-term stock returns," Graz Economics Papers 2019-08, University of Graz, Department of Economics.
• Karlsson, Sune & Österholm, Pär, 2020. "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, vol. 186(C).
  • Karlsson, Sune & Österholm, Pär, 2019. "The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?," Working Papers 2019:7, Örebro University, School of Business.
• Kladívko, Kamil & Österholm, Pär, 2021. "Do market participants’ forecasts of financial variables outperform the random-walk benchmark?," Finance Research Letters, Elsevier, vol. 40(C).
  • Kladivko, Kamil & Österholm, Pär, 2019. "Market Participants’ Forecasts of Financial Variables – Can Survey Data Outperform the Random Walk?," Working Papers 2019:10, Örebro University, School of Business.
• Mikhail Stolbov, 2019. "Constructing a Financial Stress Index for Russia: New Approaches," HSE Economic Journal, National Research University Higher School of Economics, vol. 23(1), pages 32-60.
• Valeria V. Lakshina, 2019. "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers WP BRP 75/FE/2019, National Research University Higher School of Economics.
• Nataliia Vygovska & Andriy Polchanov, 2019. "Estimation of the Losses of the Ukraine's Financial Potential from Military Conflict," Oblik i finansi, Institute of Accounting and Finance, issue 4, pages 70-77, December.
• Shahid Anjum & Naveeda Qaseem, 2019. "Big Data Algorithms And Prediction: Bingos And Risky Zones In Sharia Stock Market Index," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 5(3), pages 1-16.
• Shahid Anjum & Naveeda Qaseem, 2019. "Big Data Algorithms And Prediction: Bingos And Risky Zones In Sharia Stock Market Index," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 5(3), pages 475-490, November.
• Dinh Hoang Bach Phan & Thi Thao Nguyen Nguyen & Dat Thanh Nguyen, 2019. "A Study Of Indonesia’S Stock Market: How Predictable Is It?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-12, January.
• Dinh Hoang Bach Phan & Thi Thao Nguyen Nguyen & Dat Thanh Nguyen, 2019. "A Study Of Indonesia’S Stock Market: How Predictable Is It?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 465-476, January.
• Shahid Anjum & Naveeda Qaseem, 2019. "Big Data Algorithms And Prediction: Bingos And Risky Zones In Sharia Stock Market Index," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 5(3), pages 1-16.
• Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Scott A. Brave & Jose A. Lopez, 2019. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 15(1), pages 1-59, March.
  • Scott A. Brave & Jose A. Lopez, 2018. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," Working Paper Series 2017-17, Federal Reserve Bank of San Francisco.
• Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2019. "CoMap: mapping contagion in the euro area banking sector," Working Paper Series 2224, European Central Bank.
  • Mehmet Ziya Gorpe & Giovanni Covi & Christoffer Kok, 2019. "CoMap: Mapping Contagion in the Euro Area Banking Sector," IMF Working Papers 19/102, International Monetary Fund.
• Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2021. "CoMap: Mapping Contagion in the Euro Area Banking Sector," Journal of Financial Stability, Elsevier, vol. 53(C).
  • Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2019. "CoMap: mapping contagion in the euro area banking sector," Working Paper Series 2224, European Central Bank.
  • Mehmet Ziya Gorpe & Giovanni Covi & Christoffer Kok, 2019. "CoMap: Mapping Contagion in the Euro Area Banking Sector," IMF Working Papers 2019/102, International Monetary Fund.
• Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
• Araceli Matías González & María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez, 2019. "Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 397-414, Julio - S.
• Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & José Álvarez-García, 2019. "Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 601-616, Agosto 20.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019. "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
  • Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
• Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
  • Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
• Van Son Lai & Xiaoxia Ye, 2020. "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 1873-1907, December.
  • Van Son Lai & Xiaoxia Ye, 2019. "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?," Working Papers 2019-012, Department of Research, Ipag Business School.
• João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Kotaro Miwa, 2019. "Stock Futures of a Flawed Market Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 1-21, March.
• Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina, 2019. "Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 647-667, August.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
  • Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018. "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series 7280, CESifo.
• Riza Erdugan & Nada Kulendran & Riccardo Natoli, 2019. "Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 417-445, December.
• Marzia De Donno & Riccardo Donati & Gino Favero & Paola Modesti, 2019. "Risk estimation for short-term financial data through pooling of stable fits," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 447-470, December.
• Evangelos C. Charalambakis & Ian Garrett, 2019. "On corporate financial distress prediction: What can we learn from private firms in a developing economy? Evidence from Greece," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 467-491, February.
• Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.
• Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019. "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 257-293, July.
• Kamaldeen Ibraheem Nageri & Azeez Tunbosun Lawal & Falilat Ajoke Abdul, 2019. "Risk - Return Relationship: Nigerian Stock Market during Pre and Post 2007-2009 Financial Meltdown," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(2), pages 52-62, June.
• Simona David, 2019. "Assessing the Opportunities and Behaviors of Banking Clients in Romania: An Analysis of the Use of Online Banking Applications," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(2), pages 63-73, June.
• Kim Kaivanto & Peng Zhang, 2019. "Investor Sentiment as a Predictor of Market Returns," Working Papers 268005798, Lancaster University Management School, Economics Department.
• Kim Kaivanto & Peng Zhang, 2019. "Popular Music, Sentiment, and Noise Trading," Working Papers 279326509, Lancaster University Management School, Economics Department.
• Kordmanjiri, Sajad & Dadashi, Iman & Khoshnoud, Zahra & Gholamnia, Hamidreza, 2019. "Banks Credit Risk, with Emphasis on Audit Report of Legal Customers (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(41), pages 551-576, December.

2018

• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
  • Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
• Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
• Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
• Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
• Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
  • Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018. "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers 2018-36, Department of Economics and Business Economics, Aarhus University.
• Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018. "Realizing Correlations Across Asset Classes," CREATES Research Papers 2018-37, Department of Economics and Business Economics, Aarhus University.
• James R. Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2020. "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 63, pages 2265-2301, World Scientific Publishing Co. Pte. Ltd..
  • James Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2018. "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," Auburn Economics Working Paper Series auwp2018-03, Department of Economics, Auburn University.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
• Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
  • Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
• Mehmet Yazıcı, 2018. "Comparison of Discriminant Analysis, Logistic Regression and Artificial Neural Networks in Credit Risk Analysis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 33(109), pages 91-106, April.
• Jean-David Fermanian & Hassan Malongo, 2018. "On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics," Annals of Economics and Statistics, GENES, issue 131, pages 1-24.
• Matheus José Silva de Souza & Danilo Guimarães Franco Ramosb & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018. "Do small caps generate above average returns in the Brazilian stock market?," Review of Development Finance Journal, Chartered Institute of Development Finance, vol. 8(1), pages 18-24.
• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," International Association of Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
• Mobin Anwar & Sanjay Kumar, 2018. "Sectoral Robustness of Asset Pricing Models: Evidence from the Indian Capital Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(2), pages 42-50, May.
• György Surányi, 2018. "Ten Years after the Crisis in Hungary," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 68(supplemen), pages 121-142, November.
• Qingxia (Jenny) Wang, 2018. "A Reverse Engineered Pitch on Cremers et al. (2015), “Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns”," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 17(1), pages 178-185, March.
• Chaima Kooli & Raoudha Trabelsi & Fethi Tlili, 2018. "The Impact of Accounting Disclosure On Emerging Stock Market Prediction in an Unstable Socio-Political Context," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 17(3), pages 313-329, September.
• Stephen Figlewski, 2018. "Risk-Neutral Densities: A Review," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 329-359, November.
• Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
• Markus Spiwoks & Kilian Bizer, 2018. "On the Measurement of Overconfidence: An Experimental Study," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(1), pages 30-37, 01-2018.
• David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
  • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
  • Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
• Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad - new evidence," Papers 1804.07022, arXiv.org.
• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
• Aklima Akter & Md. Tofael Hossain Majumder & Mohammad Jashim Uddin, 2018. "Do Capital Regulations and Risk-Taking Behavior Affect Bank Performance? Evidence from Bangladesh," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(8), pages 1042-1074, August.
• Yong Shi & Ye-Ran Tang & Wen Long & Ying-Jie Tian & Wen-Ning Yang, 2018. "Finding Hidden Pattern of Financial Time Series Based on Score Matrix in Sequence Alignment," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(12), pages 1439-1456, December.
• Changjun Zheng & Anupam Das Gupta & Syed Moudud-Ul-Huq, 2018. "Do Human Capital and Cost Efficiency Affect Risk and Capital of Commercial Banks? An Empirical Study of a Developing Country," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(1), pages 22-37, January.
• Changjun Zheng & Anupam Das Gupta & Syed Moudud-Ul-Huq, 2018. "Effect of Human Capital Efficiency on Bank Risk-Taking Behavior and Capital Regulation: Empirical Evidence from a Developing Country," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(2), pages 231-247, February.
• Renáta Myšková & Petr Hájek & Vladimír Olej, 2018. "Predicting Abnormal Stock Return Volatility Using Textual Analysis of News ? A Meta-Learning Approach," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 20(47), pages 185-185, February.
• Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
  • Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1889, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1889, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
  • Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Bohdan Stetsiuk & Oleksandr Slyvka & Oleksandr Bashynskyi, 2018. "The Legal Framework For The Implementation Of Currency Regulation In Some Foreign Countries And In Ukraine," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 4(1).
• Svitlana Berezina, 2018. "Methodological Bases Of Classification Of Social Risks," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 4(5).
• Svitlana Pylypenko & Yuliia Udovenko & Vitalii Cherneha, 2018. "Legal Description Of The Factoring Contract In Romania," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 4(5).
• Dmytro Pryimachenko & Tetiana Minka & Volodymyr Marchenko, 2018. "Legal Regulation Of Liability For Offenses In The Financial Sphere In The Eu Countries And Ukraine: Comparative Analysis," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 4(5).
• Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini, 2018. "Value Matters: The Long-run Behavior of Stock Index Returns," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 16-28, May.
• Spartak Keremidchiev & Yana Kirilova & Dochka Velkova, 2018. "Financial Aspects of NPP Construction: Implications for NPP Belene," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 121-129.
• Emrah Ismail CEVIK, 2018. "Is the Istanbul Stock Exchange Weak Form Efficient? A Markov-Switching ADF Test Approach," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 12(2), pages 9-30.
• Koresh Galil & Neta Gilat, 2019. "Predicting Default More Accurately: To Proxy or Not to Proxy for Default?," International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 731-758, December.
  • Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  • Koresh Galil & Neta Gilat, 2018. "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers 1801, Ben-Gurion University of the Negev, Department of Economics.
• Elizaveta Danilova & Evgeny Rumyantsev & Ivan Shevchuk, 2018. "Review of the Bank of Russia – IMF Workshop 'Recent Developments in Macroprudential Stress Testing'," Russian Journal of Money and Finance, Bank of Russia, vol. 77(4), pages 60-83, December.
• Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2018. "Forecasting With Social Media: Evidence From Tweets On Soccer Matches," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1748-1763, July.
• William N. Goetzmann & Dasol Kim, 2018. "Negative bubbles: What happens after a crash," European Financial Management, European Financial Management Association, vol. 24(2), pages 171-191, March.
  • William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
• Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  • Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  • Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
• Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
  • Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 29 May 2019.
• Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, vol. 79(C), pages 111-129.
  • Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
• Nyman, Rickard & Kapadia, Sujit & Tuckett, David, 2021. "News and narratives in financial systems: Exploiting big data for systemic risk assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  • Rickard Nyman & Sujit Kapadia & David Tuckett & David Gregory & Paul Ormerod & Robert Smith, 2018. "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers 704, Bank of England.
• Tobias Neumann, 2018. "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers 708, Bank of England.
• Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2018. "Multiplex network analysis of the UK OTC derivatives market," Bank of England working papers 726, Bank of England.
• Geir-Are Karvik & Joseph Noss & Jack Worlidge & Daniel Beale, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• Tariq Aziz & Valeed Ahmad Ansari, 2018. "Are extreme negative returns priced in the Indian stock market?," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(1), pages 76-90, March.
• Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2018. "Pockets of risk in European Housing Markets: then and now," Research Technical Papers 12/RT/18, Central Bank of Ireland.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," Working Paper Series 2277, European Central Bank.
  • Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019. "Pockets of risk in European housing markets: then and now," ESRB Working Paper Series 87, European Systemic Risk Board.
• Cronin, David & Dunne, Peter G., 2019. "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 49-66.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
• Byrne, Stephen & Rice, Jonathan, 2018. "Non-Tariff Barriers and Goods Trade: a Brexit Impact Analysis," Research Technical Papers 6/RT/18, Central Bank of Ireland.
• Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
  • Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018. "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series 7280, CESifo.
• Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018. "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Swiss Finance Institute Research Paper Series 18-22, Swiss Finance Institute, revised Mar 2018.
• Jerome L Kreuser & Didier Sornette, 2018. "Bitcoin Bubble Trouble," Swiss Finance Institute Research Paper Series 18-24, Swiss Finance Institute, revised Jun 2018.
• Feng Zhou & Zhang Qun & Didier Sornette & Liu Jiang, 2018. "Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis," Swiss Finance Institute Research Paper Series 18-50, Swiss Finance Institute, revised Aug 2018.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
  • Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
  • Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series 18-71, Swiss Finance Institute.
• Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  • Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  • Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
  • Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Erick Translateur, 2018. "Predicción del mercado de TES en el corto plazo," Documentos de Trabajo 16556, Quantil.
• Andrés Felipe Galeano Zurbaran, 2018. "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo 17208, Quantil.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  • Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
• Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
• Esida Gila-Gourgoura & Eftychia Nikolaidou, 2018. "Credit Risk Determinants In The Vulnerable Economies Of Europe: Evidence From The Italian Banking System," Proceedings of Economics and Finance Conferences 6909750, International Institute of Social and Economic Sciences.
  • Esida Gila-Gourgoura & Eftychia Nikolaidou, 2018. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Italian Banking System," School of Economics Macroeconomic Discussion Paper Series 2018-08, School of Economics, University of Cape Town.
• Afees A. Salisu & Kazeem Isah & Lateef O. Akanni, 2018. "Predicting the stock prices of G7 countries with Bitcoin prices," Working Papers 054, Centre for Econometric and Allied Research, University of Ibadan.
• Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.
• Afees A. Salisu & Ibrahim D. Raheem, 2018. "A new procedure for pre-testing the distribution properties of Stock returns," Working Papers 057, Centre for Econometric and Allied Research, University of Ibadan.
• Afees A. Salisu & Idris Adediran, 2018. "Testing for time-varying stochastic volatility in Bitcoin returns," Working Papers 060, Centre for Econometric and Allied Research, University of Ibadan.
• Afees A. Salisu & Ahamuefula Ephraim Ogbonna, 2018. "Does time-variation matter in the stochastic volatility components for G7 stock returns," Working Papers 062, Centre for Econometric and Allied Research, University of Ibadan.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018. "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
  • Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Feb 2016.
• Stefan SIMEONOV & Teodor TODOROV, 2018. "Designing The Investment Profile Of The Shares Traded On The Bulgarian Stock Exchange In The Period From August 2016 To December 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 70-100.
• Стефан Симеонов & Теодор Тодоров, 2018. "Формиране На Инвестиционен Профил За Акции, Търгувани На Българската Фондова Борса За Периода Август 2016 – Декември 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 85-116.
• Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
• Kai Schindelhauer & Chen Zhou, 2018. "Value-at-Risk prediction using option-implied risk measures," DNB Working Papers 613, Netherlands Central Bank, Research Department.
• Nadia Boussaha & Faycal Hamdi & Saïd Souam, 2018. "Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling," EconomiX Working Papers 2018-14, University of Paris Nanterre, EconomiX.
• Lang, Jan Hannes, 2018. "Cross-country linkages and spill-overs in early warning models for financial crises," Working Paper Series 2160, European Central Bank.
• Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "A framework for early-warning modeling with an application to banks," Working Paper Series 2182, European Central Bank.
• Karnaukh, Nina, 2018. "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series 2018-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Ozkan Haykir, 2018. "Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 148-153.
• Issa Hijazeen & Ali Al-Assaf, 2018. "Dollarization in Jordan," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 14-24.
• Sisili Rahman & Biplab Das & Tazrina Farah, 2018. "Identifying Spillover Effect & Bubble in Bangladeshi Asset Markets: An Analysis of Stock Market and Real Estate," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 76-83.
• Kunlapath Sukcharoen & David Leatham, 2018. "Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 193-201.
• Andrikopoulos, Panagiotis & Khorasgani, Amir, 2018. "Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy," The British Accounting Review, Elsevier, vol. 50(5), pages 559-573.
• Faria, Adriano & Almeida, Caio, 2018. "A hybrid spline-based parametric model for the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 72-94.
• Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
• Sikhosana, Ayanda & Aye, Goodness C., 2018. "Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 1-8.
• Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018. "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, vol. 70(C), pages 525-542.
• Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.
• BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
  • Ahmed Bensaïda & Houda Litimi & Oussama Abdallah, 2018. "Volatility spillover shifts in global financial markets," Post-Print hal-02869496, HAL.
• Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S., 2018. "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 204-220.
• Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
  • Ruenzi, Stefan & Weigert, Florian, 2017. "Momentum and Crash Sensitivity," Working Papers on Finance 1801, University of St. Gallen, School of Finance.
• Koutmos, Dimitrios, 2018. "Bitcoin returns and transaction activity," Economics Letters, Elsevier, vol. 167(C), pages 81-85.
• González-Fernández, Marcos & González-Velasco, Carmen, 2018. "Can Google econometrics predict unemployment? Evidence from Spain," Economics Letters, Elsevier, vol. 170(C), pages 42-45.
• Lin, Qi & Lin, Xi, 2018. "Expected investment and the cross-section of stock returns," Economics Letters, Elsevier, vol. 172(C), pages 43-49.
• Koutmos, Dimitrios, 2018. "Liquidity uncertainty and Bitcoin’s market microstructure," Economics Letters, Elsevier, vol. 172(C), pages 97-101.
• Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
• Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018. "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, vol. 37(C), pages 17-31.
• Stivers, Adam, 2018. "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 126-140.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  • Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015. "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers 2015-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
• Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  • Dimitris Malliaropulos & Petros M. Migiakis, 2016. "The re-pricing of sovereign risks following the global financial crisis," Working Papers 210, Bank of Greece.
• Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
• Hofmann, Erik & Solakivi, Tomi & Töyli, Juuso & Zinn, Martin, 2018. "Oil price shocks and the financial performance patterns of logistics service providers," Energy Economics, Elsevier, vol. 72(C), pages 290-306.
• Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
• Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
• Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018. "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, vol. 74(C), pages 767-776.
• Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018. "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, vol. 75(C), pages 573-582.
• Wang, Jianshen & Taylor, Nick, 2018. "A comparison of static and dynamic portfolio policies," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 111-127.
• Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018. "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 140-155.
• Jayasekera, Ranadeva, 2018. "Prediction of company failure: Past, present and promising directions for the future," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 196-208.
• Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
• Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018. "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 98-114.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018. "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, vol. 24(C), pages 193-198.
• Zhipeng, Yan & Shenghong, Li, 2018. "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, vol. 24(C), pages 49-55.
• Debata, Byomakesh & Dash, Saumya Ranjan & Mahakud, Jitendra, 2018. "Investor sentiment and emerging stock market liquidity," Finance Research Letters, Elsevier, vol. 26(C), pages 15-31.
• Xu, Hai-Chuan & Zhou, Wei-Xing, 2018. "A weekly sentiment index and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 27(C), pages 135-139.
• Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
  • Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
• Baltas, Nick & Karyampas, Dimitrios, 2018. "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, vol. 38(C), pages 83-102.
• Hung, Weifeng & Yang, J. Jimmy, 2018. "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 41(C), pages 77-91.
• Nguyen, Hung T. & Truong, Cameron, 2018. "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, vol. 41(C), pages 92-116.
• Henriques, Irene & Sadorsky, Perry, 2018. "Investor implications of divesting from fossil fuels," Global Finance Journal, Elsevier, vol. 38(C), pages 30-44.
• Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
• Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
• Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 104-127.
  • Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Stelios Bekiros & Muhammad Shahbaz & Ghulam Mujtaba Kayani, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Post-Print hal-01989649, HAL.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2018. "A new GARCH model with higher moments for stock return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 93-103.
• Nazemi, Abdolreza & Fabozzi, Frank J., 2018. "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 14-25.
• Chatterjee, Ujjal K., 2018. "Bank liquidity creation and recessions," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 64-75.
• de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
• Miller, Patrick & Töws, Eugen, 2018. "Loss given default adjusted workout processes for leases," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 189-201.
• Li, Bingxin, 2018. "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 64-81.
• Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
• Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018. "Market intraday momentum," Journal of Financial Economics, Elsevier, vol. 129(2), pages 394-414.
• Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018. "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 59-74.
• Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018. "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 48(C), pages 85-96.
• Eom, Cheoljun & Park, Jong Won, 2018. "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 213-231.
• Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
• Karabiyik, Hande & Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Westerlund, Joakim, 2018. "Islamic spot and index futures markets: Where is the price discovery?," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 123-133.
• Su, Zhi & Fang, Tong & Yin, Libo, 2018. "Does NVIX matter for market volatility? Evidence from Asia-Pacific markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 506-516.
• Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
• D’Amico, Guglielmo & Scocchera, Stefania & Storchi, Loriano, 2018. "Financial risk distribution in European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 252-267.
• Song, Wonho & Park, Sung Y. & Ryu, Doojin, 2018. "Dynamic conditional relationships between developed and emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 534-543.
• Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018. "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 302-315.
• Bachmeier, Lance J. & Nadimi, Soheil R., 2018. "Oil shocks and stock return volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 1-9.
• Ichkitidze, Yuri, 2018. "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 103-117.
• Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
• Kashyap, Ravi, 2018. "Auction theory adaptations for real life applications," Research in Economics, Elsevier, vol. 72(4), pages 452-481.
• Wan, Xiaoyuan, 2018. "Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 1-15.
• Tao, Qizhi & Wei, Yu & Liu, Jiapeng & Zhang, Ting, 2018. "Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 143-153.
• Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
• Juan DU, 2018. "Empirical differences between the overnight and day trading hour returns," China Finance Review International, Emerald Group Publishing Limited, vol. 8(3), pages 315-331, May.
• Juan DU, 2018. "Empirical differences between the overnight and day trading hour returns," China Finance Review International, Emerald Group Publishing Limited, vol. 8(3), pages 315-331, May.
• Philippe Bélanger & Marc-André Picard, 2018. "A multi-factor HJM and PCA approach to risk management of VIX futures," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 19(5), pages 524-547, October.
• Philippe Bélanger & Marc-André Picard, 2018. "A multi-factor HJM and PCA approach to risk management of VIX futures," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 19(5), pages 524-547, October.
• J. Christopher Hughen & Peter P. Lung, 2018. "Risk management in student-managed funds: Earnings announcements and the collar strategy," Managerial Finance, Emerald Group Publishing, vol. 46(5), pages 692-702, September.
• Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018. "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 10(3), pages 210-230, July.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2018-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Ramona Serrano Bautista & Leovardo Mata Mata, 2018. "Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana. (A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 43-76, May.
• V.A. Makeev & M.V. Belikova & A.K. Isaev & D.I. Stratan, 2018. "Formation of an Integrated Financial Regulation System of Transport Corporations’ Economic Development," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 377-387.
• Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
  • Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
• Vasile BRÄ‚TIAN, 2018. "Portfolio Optimization. Application of the Markowitz Model Using Lagrange and Profitability Forecast," Expert Journal of Economics, Sprint Investify, vol. 6(1), pages 26-34.
• Bangun WIDOYOKO & Ely SISWANTO & F. Danardana MURWANI, 2018. "Determining the Exchange Rate: Purchasing Power Parity - PPP," Expert Journal of Finance, Sprint Investify, vol. 6(1), pages 12-15.
• Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
  • Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
• Andrew C. Chang, 2018. "Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring \"Temporary\" Taxes," Finance and Economics Discussion Series 2018-041, Board of Governors of the Federal Reserve System (U.S.).
• Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.
  • Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
• Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
• Gözde YILDIRIM, Zafer ADALI, 2018. "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
• Eyyüp Ensari ŞAHİN, 2018. "Crypto Money Bitcoin: Price Estimation with ARIMA and Artificial Neural Networks," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Ana Sofia Monteiro & Hélder Sebastião & Nuno Silva, 2018. "Predictability of stock returns and dividend growth using dividend yields: An international approach," CeBER Working Papers 2018-10, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 104-127.
  • Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Stelios Bekiros & Muhammad Shahbaz & Ghulam Mujtaba Kayani, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Post-Print hal-01989649, HAL.
• BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
  • Ahmed Bensaïda & Houda Litimi & Oussama Abdallah, 2018. "Volatility spillover shifts in global financial markets," Post-Print hal-02869496, HAL.
• Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
  • Abdallah Ben Saida & Jean-Luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Post-Print hal-03679698, HAL.
• Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
  • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
  • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
• Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Working Papers hal-01769390, HAL.
• Becker, Janis & Leschinski, Christian, 2018. "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP) dp-624, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Janis Becker & Christian Leschinski, 2021. "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 269-278, March.
  • Becker, Janis & Leschinski, Christian, 2018. "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP) dp-631, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Becker, Janis & Leschinski, Christian, 2018. "The Bias of Realized Volatility," Hannover Economic Papers (HEP) dp-642, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Gick, Wolfgang & Weissensteiner, Alex, 2018. "Analysts' Disagreement and Investor Decisions," Working Paper Series 1207, Research Institute of Industrial Economics.
• Andrey Leonidov & Vladimir Nechitailo & Ekaterina Serebryannikova, 2018. "Interbank Network Topology in the Agent-based Model of Banking System," HSE Economic Journal, National Research University Higher School of Economics, vol. 22(3), pages 387-417.
• Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
• James L. Kuhle & Eric C. Lin, 2018. "Evaluating Real Estate Mutual Fund Performance Using The Morningstar Upside/Downside Capture Ratio," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 12(1), pages 15-22.
• James L. Kuhle & Eric C. Lin, 2018. "An Evaluation Of Risk And Return Performance Measure Alternatives: Evidence From Real Estate Mutual Funds," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 9(1), pages 1-11.
• Solikin M. Juhro & Dinh Hoang Bach Phan, 2018. "Can Economic Policy Uncertainty Predict Exchange Rate And Its Volatility? Evidence From Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(2), pages 1-18, October.
• Solikin M. Juhro & Dinh Hoang Bach Phan, 2018. "Can Economic Policy Uncertainty Predict Exchange Rate And Its Volatility? Evidence From Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(2), pages 251-268, October.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2017. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," Monash Econometrics and Business Statistics Working Papers 13/17, Monash University, Department of Econometrics and Business Statistics.
  • Tingting Cheng & Jiti Gao & Oliver Linton, 2018. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," CeMMAP working papers CWP03/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Ramona Serrano Bautista & Leovardo Mata Mata, 2018. "Valor en Riesgo mediante un modelo heterocedástico condicional ?-estable," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(1), pages 1-26, Enero-Mar.
• Lai, Van Son & Ye, Xiaoxia & Zhao, Lu, 2019. "Are market views on banking industry useful for forecasting economic growth?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  • Van Son Lai & Xiaoxia Ye & Lu Zhao, 2018. "Are Market Views on Banking Industry Useful for Forecasting Economic Growth?," Working Papers 2018-001, Department of Research, Ipag Business School.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018. "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM 2018/35, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Salvador Ortí-Camallonga, 2018. "Constraints of Spanish Insolvency Law. A predictive bankruptcy model for Spanish industrial SMEs (2007-2015)," Working Papers 2018/01, Economics Department, Universitat Jaume I, Castellón (Spain).
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 493-511, March.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
• Patrick Bielstein, 2018. "International asset allocation using the market implied cost of capital," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(1), pages 17-51, February.
• Hanen Ben Salah & Jan G. Gooijer & Ali Gannoun & Mathieu Ribatet, 2018. "Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 419-436, November.
• Jules Clement Mba & Edson Pindza & Ur Koumba, 2018. "A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 399-418, November.
• Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
• Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
• Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
• Dia Amadou, 2018. "Financial Inclusion and Poverty Reduction: Selected Approaches and Implications for Mali's Choice," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 4(4), pages 50-56, December.
• Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
  • Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
• Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
  • Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
• Váradi, Kata & Ladoniczki, Sára Kata, 2018. "Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana [Numerical methodology in the basic insurance requirements of clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 780-809.
• Reinhard H. Schmidt, 2018. "Microfinance – Once and Today," Credit and Capital Markets, Credit and Capital Markets, vol. 51(2), pages 183-203.
  • Schmidt, Reinhard H., 2017. "Microfinance - once and today," SAFE White Paper Series 48, Leibniz Institute for Financial Research SAFE.
• Nadri , Kamran & Ebrahimi , Sajad & Fadaie , Abbas, 2018. "An Investigation of Co-Movement of Financial Stability Index with Macro-Prudential Indicator through Wavelet Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(2), pages 125-151, April.
• Sadeghzadeh Yazdi , Ali & Abounoori , Esmaiel & Erfani , Alireza, 2018. "Modeling the Liquidity Gap in a Private Bank," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(2), pages 153-176, April.
• Nadri , Kamran & Ebrahimi , Sajad & Fadaie , Abbas, 2018. "Assessment of Financial Stability in the Banking Sector in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(4), pages 501-523, October.
• Seyedehzahra NEMATOLLAHI & Giancarlo MANZI, 2018. "Portfolio Management Using Prospect Theory: Comparing Genetic Algorithms and Particle Swarm Optimization," Departmental Working Papers 2018-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Levente Kocsis & Miklos Sallay, 2018. "Credit-to-GDP gap calculation using multivariate HP filter," MNB Occasional Papers 2018/136, Magyar Nemzeti Bank (Central Bank of Hungary).
• Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The properties of a skewness index and its relation with volatility and returns," Department of Economics 0133, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad - new evidence," Papers 1804.07022, arXiv.org.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
• Aneta Ptak-Chmielewska & Anna Matuszyk, 2018. "The importance of financial and non-financial ratios in SMEs bankruptcy prediction," Bank i Kredyt, Narodowy Bank Polski, vol. 49(1), pages 45-62.
• Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019. "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
  • Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
• Bozhidar Nedev, 2018. "Short-term Predictability on the International Capital Markets – Momentum Effect," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 121-135, April.
• Mieczyslaw Adamowicz, 2018. "Long-Term Financial Forecasting As A Part Of Strategic Planning In Local Government Units," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, vol. 13(4), pages 357-374, November.
• Laurențiu Droj & Ioan Gheorghe Tara, 2018. "Early Warning Indicators - Evolution For The Medical Companies Registered At Bse," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 102-108, December.
• Laurențiu Droj, 2018. "Considerations Regarding The Evolution Of The Liquidity And Solvency Indicators Of The Most Important Romanian Production Companies In The Period 2014-2017," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 94-101, December.
• Stefán B. Gunnlaugsson, 2018. "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 46-55, March.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
  • Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
• Vintu Denis & Negotei Ioana-Alina, 2018. "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 264-270, July.
  • Vîntu, Denis & Negotei, Ioana-Alina, 2018. "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," MPRA Paper 107625, University Library of Munich, Germany, revised 15 Apr 2018.
• Èšole Alexandru - Adrian, 2018. "K-Means Clustering Approach for Improving Financial Forecasts," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 514-518, July.
• El Jebari, Ouael & Hakmaoui, Abdelati, 2018. "GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 237-249, Diciembre.
• Yang Gao & Henry Leung & Stephen Satchell, 2018. "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 341-350, September.
• Marcin Chlebus, 2018. "One-day-ahead forecast of state of turbulence based on today's economic situation," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 13(3), pages 357-389, September.
• Tomas Kliestik & Jaromir Vrbka & Zuzana Rowland, 2018. "Bankruptcy prediction in Visegrad group countries using multiple discriminant analysis," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 13(3), pages 569-593, September.
• Miskolczi, Panna, 2018. "Comparison of Risk Calculation Based on Historical Simulation and the Copula Function," Public Finance Quarterly, Corvinus University of Budapest, vol. 63(1), pages 80-95.
• Abasov, Muzaffar, 2018. "Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries," MPRA Paper 104267, University Library of Munich, Germany.
• Vintu Denis & Negotei Ioana-Alina, 2018. "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 264-270, July.
  • Vîntu, Denis & Negotei, Ioana-Alina, 2018. "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," MPRA Paper 107625, University Library of Munich, Germany, revised 15 Apr 2018.
• Baydalinova, Aynur & Sandybayeva, Balzhan & Stukach, Victor, 2018. "Financial security of Kazakhstan: gross domestic product, public debt, budget deficit," MPRA Paper 73873, University Library of Munich, Germany, revised Jan 2019.
• Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
• Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018. "Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores [A Comparative Analysis among GARCH-M, EGARC," MPRA Paper 84304, University Library of Munich, Germany.
• David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
  • Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
  • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
• Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.
  • Camilleri, Silvio John & Farrugia, Ritienne, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," MPRA Paper 87070, University Library of Munich, Germany.
• Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
• Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2018. "Transition drivers and crisis signaling in stock markets," MPRA Paper 88127, University Library of Munich, Germany.
• Mtiraoui, Abderraouf & GABSI, Feriel, 2018. "La finance entre l’éthique islamique, la réalité conventionnelle et croissance économique dans la région MENA [Finance Between Islamic Ethics, Conventional Reality and Economic Growth in the MENA R," MPRA Paper 88251, University Library of Munich, Germany.
• BAYALE, Nimonka & EVLO, Kodjo & TRAORE, Fousseini, 2018. "Foreign aid shocks and macroeconomic adjustment mechanisms in WAEMU countries : an approach based on a computable general equilibrium model," MPRA Paper 88466, University Library of Munich, Germany, revised 17 Aug 2018.
• Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2020. "Improving forecast accuracy of financial vulnerability: PLS factor model approach," Economic Modelling, Elsevier, vol. 88(C), pages 341-355.
  • Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Ko, Kyunghwan, 2018. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper 89449, University Library of Munich, Germany.
• FERROUHI, El Mehdi, 2018. "Determinants of banks’ profitability and performance: an overview," MPRA Paper 89470, University Library of Munich, Germany.
• Roy Trivedi, Smita, 2018. "Technical Analysis Strategies: Development of Heiken Ashi Stochastic," MPRA Paper 89594, University Library of Munich, Germany.
• Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
  • Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
  • Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
• Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  • Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
• Pincheira-Brown, Pablo & Neumann, Federico, 2020. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, vol. 37(C).
  • Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
• Gupta, Rangan & Pierdzioch, Christian & Vivian, Andrew J. & Wohar, Mark E., 2019. "The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests," Finance Research Letters, Elsevier, vol. 29(C), pages 315-322.
  • Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018. "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers 201809, University of Pretoria, Department of Economics.
• Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020. "Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  • Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
• Goodness Aye, 2018. "Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach," Working Papers 201827, University of Pretoria, Department of Economics.
• Hossein Hassani & Mohammad Reza Yeganegi & Juncal Cuñado & Rangan Gupta, 2020. "Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(6), pages 1128-1143, April.
  • Hossein Hassani & Mohammad Reza Yeganegi & Juncal Cunado & Rangan Gupta, 2018. "Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers 201873, University of Pretoria, Department of Economics.
• Pavel Srbek, 2018. "Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů [Estimation of the Hurst Exponent in Time Series of Daily Returns of Stock Indices]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(4), pages 508-524.
• Savvakis C. Savvides, 2018. "Socialising the losses and privatising the gains The case of Cyprus five years after the bail-in of bank deposits," Development Discussion Papers 2018-02, JDI Executive Programs.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019. "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
  • Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
• H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
  • Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
  • Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
  • Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
• Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2023. "Forecasting expected shortfall: Should we use a multivariate model for stock market factors?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 314-331.
  • Alain-Philippe Fortin & Jean-Guy Simonato & Georges Dionne, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management.
• Bisharat Hussain Chang & Pervaiz Ahmed Memon & Niaz Ghumro & Mujeeb-ur- Rehman, 2018. "Are gold markets weak form efficient? Evidence from China, India and Russia," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 5(1), pages 52-65.
• Javad Khalilzadeh & Hassan Heidari & Soleiman Feizi & Sahar Bashiri, 2018. "Investigation of Producers Financial Challenging’s with Emphasis on the Role of Monetary Policy and the Banking Sector Credits: Application of DSGE Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 4(4), pages 61-90.
• Julijana Angelovska & Zoran Ivanovski, 2018. "Accuracy In Risk Estimation Based On Simple Sma And Ewma Models:Evidence From Macedonian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 17-27.
• Saso Kozuharov & Vladimir Petkovski, 2018. "The Impact Of Social Transfers On Inequality Measured By Gini Index: The Example Of Macedonia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 49-61.
• Yufeng Chen & Wenqi Li & Xi Jin, 2018. "Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-62, December.
• Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
• Tsotne Marghia, 2018. "Interdependence between Macroeconomic and Financial Stability Indicators: Macro-Feedback Effect," Proceedings of International Academic Conferences 8209716, International Institute of Social and Economic Sciences.
• Sasipa Pojanavatee, 2018. "The Sensitivity of Thailand Corporate Bond Values to Interest Rate Changes," Proceedings of Business and Management Conferences 7608689, International Institute of Social and Economic Sciences.
• Esida Gila-Gourgoura & Eftychia Nikolaidou, 2018. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Italian Banking System," School of Economics Macroeconomic Discussion Paper Series 2018-08, School of Economics, University of Cape Town.
  • Esida Gila-Gourgoura & Eftychia Nikolaidou, 2018. "Credit Risk Determinants In The Vulnerable Economies Of Europe: Evidence From The Italian Banking System," Proceedings of Economics and Finance Conferences 6909750, International Institute of Social and Economic Sciences.
• András Bebes & Dávid Tran & László Bebesi, 2018. "Optimizing the Hungarian Government Debt Portfolio," Proceedings of Economics and Finance Conferences 6910176, International Institute of Social and Economic Sciences.
• Galicia Palacios, Alejandro & Coria Páez, Ana Lilia. & Flores Ortega, Miguel., 2018. "Volatilidad estocástica del tipo de cambio, impacto y desequilibrios en la economía mexicana./Stochastic volatility of the exchange rate, impact and imbalances in the mexican economy," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(1), pages 35-52, enero-jun.
• Piotr Fiszeder, 2018. "Exchange Rate Covariance Modelling by Means of Minimum and Maximum Prices (Modelowanie kowariancji kursow walutowych z zastosowaniem cen minimalnych i maksymalnych)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(76), pages 37-49.
• Cukierman, Alex & Lustenberger, Thomas, 2017. "International evidence on professional interest rates forecasts: The impact of forecasting ability," CEPR Discussion Papers 12489, C.E.P.R. Discussion Papers.
  • Alex Cukierman & Thomas Lustenberger, 2018. "International Evidence on Professional Interest Rate Forecasts: The Impact of Forecasting Ability," Working Papers 2018-10, Swiss National Bank.
• Elias Cavalcante-Filho & Flavio Abdenur, Rodrigo De Losso, 2018. "Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios," Working Papers, Department of Economics 2018_23, University of São Paulo (FEA-USP).
• David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
• Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
• Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
• Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
  • Abdallah Ben Saida & Jean-Luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Post-Print hal-03679698, HAL.
• Dimitrios Koutmos, 2018. "Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?," Annals of Operations Research, Springer, vol. 266(1), pages 441-498, July.
• Kotaro Miwa, 2018. "Effective extension of trading hours," Evolutionary and Institutional Economics Review, Springer, vol. 15(1), pages 139-166, June.
• Sami Ben Jabeur & Youssef Fahmi, 2018. "Forecasting financial distress for French firms: a comparative study," Empirical Economics, Springer, vol. 54(3), pages 1173-1186, May.
• Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
• Gopal K. Basak & Arnab Bhattacharjee & Samarjit Das, 2018. "Causal ordering and inference on acyclic networks," Empirical Economics, Springer, vol. 55(1), pages 213-232, August.
• Bastian Gribisch, 2018. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, vol. 55(2), pages 621-651, September.
• John B. Broughton & Bento J. Lobo, 2018. "Herding and anchoring in macroeconomic forecasts: the case of the PMI," Empirical Economics, Springer, vol. 55(3), pages 1337-1355, November.
• John Inekwe, 2018. "Financial crises and the extreme bounds of predictors," Empirical Economics, Springer, vol. 55(4), pages 2047-2067, December.
• Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2018. "Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-17, December.
• Jose Gutierrez & Steve Johnson & Robert Stretcher, 2018. "A synthesized model of short selling constraints and their impact on stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 191-210, January.
• KhasadYahu ZarBabal & Jocelyn Evans, 2018. "Does wall street affect main street? examining potential spillovers from investor stock market sentiment to personal consumption expenditures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 293-314, April.
• Li Lin & Didier Sornette, 2018. "“Speculative Influence Network” during financial bubbles: application to Chinese stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 385-431, July.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 511-535, October.
• David Court & Benjamin Gillen & Jordi McKenzie & Charles R. Plott, 2018. "Two information aggregation mechanisms for predicting the opening weekend box office revenues of films: Boxoffice Prophecy and Guess of Guesses," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(1), pages 25-54, January.
  • David Court & Benjamin Gillen & Jordi McKenzie & Charles Plott, 2015. "Two Information Aggregation Mechanisms for Predicting the Opening Weekend Box Office Revenues of Films: Boxoffice Prophecy and Guess of Guesses," Natural Field Experiments 00541, The Field Experiments Website.
• Xingfang Huang & Lianqian Yin, 2018. "The Research of the Periodic Features of Stock Index Volatility based on Hilbert-Huang Transformation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-1.
• Markus Spiwoks & Kilian Bizer, 2018. "Correlation Neglect and Overconfidence. An Experimental Study," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(3), pages 1-5.
• Djahoué Mangblé Gérald, 2018. "Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-4.
• Cronin, David & Dunne, Peter G., 2019. "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 49-66.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Viktoriya Valeryevna Manuylenko & Marina Aleksandrovna Loktionova & Nina Vladimirovna Lipchiu & Natalia Vladimirovna Sobchenko & Tatyana Andreyevna Sadovskaya, 2018. "Options simulation toolkit for strategic evaluation of corporations' financial potential," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 6(2), pages 871-889, December.
• Mawuli Segnon & Mark Trede, 2018. "Forecasting market risk of portfolios: copula-Markov switching multifractal approach," The European Journal of Finance, Taylor & Francis Journals, vol. 24(14), pages 1123-1143, September.
  • Mawuli Segnon & Mark Trede, 2017. "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers 6617, Center for Quantitative Economics (CQE), University of Muenster.
• Hideyuki Takamizawa, 2018. "A term structure model of interest rates with quadratic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1173-1198, July.
  • TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
• Mohamed Chikhi & Ali Bendob, 2018. "Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(2), pages 105-120.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  • Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Luca Bagato & Alessio Gioia & Enrico Mandelli, 2018. "Reflexivity And Interactions In Modern Financial Markets: The Case Of Volatility Indices," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 126(3), pages 231-254.
• Luca Bagato & Alessio Gioia & Enrico Mandelli, 2018. "Reflexivity And Interactions In Modern Financial Markets: The Case Of Volatility Indices," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 140(3), pages 231-254.
• DUȚĂ, Violeta, 2018. "Using The Symmetric Models Garch (1.1) And Garch-M (1.1) To Investigate Volatility And Persistence For The European And Us Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(1), pages 64-86.
• BARANGA, Laurentiu Paul & PANAIT, Iulian, 2018. "Estimating The Credit Risk Score For Non Bank Stock Exchange Intermediaries In The Eventuality Of Changeover To Euro Currency," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(4), pages 25-40, December.
• MILEA, Camelia, 2018. "Vulnerabilities Of The Romanian Economy Generated By The Foreign Trade, The External Debt And The Exchange Rate After Romania’S Accession To The European Union," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(4), pages 41-56, December.
• DRAGOI, Catalin, 2018. "The Influence Of Country Ratings On Foreign Direct Investment In Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 6(1), pages 134-142, October.
• Ślepaczuk Robert & Zenkova Maryna, 2018. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Central European Economic Journal, Sciendo, vol. 5(1), pages 186-205, January.
  • Maryna Zenkova & Robert Ślepaczuk, 2019. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Working Papers 2019-02, Faculty of Economic Sciences, University of Warsaw.
• Ryś Przemysław & Ślepaczuk Robert, 2018. "Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency," Central European Economic Journal, Sciendo, vol. 5(1), pages 206-229, January.
• Ślepaczuk Robert & Zenkova Maryna, 2018. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Central European Economic Journal, Sciendo, vol. 5(52), pages 186-205, January.
  • Maryna Zenkova & Robert Ślepaczuk, 2019. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Working Papers 2019-02, Faculty of Economic Sciences, University of Warsaw.
• Ryś Przemysław & Ślepaczuk Robert, 2018. "Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency," Central European Economic Journal, Sciendo, vol. 5(52), pages 206-229, January.
• Behr Adam & Mielcarz Paweł & Osiichuk Dmytro, 2018. "Terminal Value Calculation in DCF Valuation Models: An Empirical Verification," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(1), pages 27-38, March.
• Przemysław Ryś & Robert Ślepaczuk, 2018. "Machine learning in algorithmic trading strategy optimization - implementation and efficiency," Working Papers 2018-25, Faculty of Economic Sciences, University of Warsaw.
• Olga Almabekova Roman Kuzmich Elena Antosik, 2018. "Income Approach to Business Valuation: Russian Perspective," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 21(2), pages 115-128, November.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Bank of Finland Research Discussion Papers 7/2018, Bank of Finland.
• Bichler, Shimshon & Nitzan, Jonathan, 2018. "With their Back to the Future: Will Past Earnings Trigger the Next Crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 18, pages 41-56.
  • Nitzan, Jonathan & Bichler, Shimshon, 2018. "With Their Back to the Future: Will Past Earnings Trigger the Next Crisis?," Working Papers on Capital as Power 2018/01, Capital As Power - Toward a New Cosmology of Capitalism.
• Pal, Sumantra, 2018. "How to intervene in foreign exchange market without buying/selling dollars?," EconStor Preprints 181880, ZBW - Leibniz Information Centre for Economics.
• Packham, Natalie & Woebbeking, Fabian, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers 2018-034, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Packham, Natalie & Papenbrock, Jochen & Schwendner, Peter & Woebbeking, Fabian, 2018. "Tail-Risk Protection Trading Strategies," IRTG 1792 Discussion Papers 2018-038, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Bommes, Elisabeth & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2018. "Textual Sentiment and Sector specific reaction," IRTG 1792 Discussion Papers 2018-043, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018. "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers 2018-056, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Demary, Markus, 2018. "IW Financial Expert Survey: Second Quarter 2018," IW-Reports 13/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: First Quarter 2018," IW-Reports 2/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Third Quarter 2018," IW-Reports 29/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Fourth Quarter 2018," IW-Reports 37/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
  • Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
  • Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
• Beckmann, Joscha & Reitz, Stefan, 2020. "Information rigidities and exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 105(C).
  • Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.

2017

• Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
• Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.
• Antoine Kornprobst, 2017. "Winning Investment Strategies Based on Financial Crisis Indicators," Documents de travail du Centre d'Economie de la Sorbonne 17039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2017. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," Monash Econometrics and Business Statistics Working Papers 13/17, Monash University, Department of Econometrics and Business Statistics.
  • Tingting Cheng & Jiti Gao & Oliver Linton, 2018. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," CeMMAP working papers CWP03/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
• Biqing Cai & Jiti Gao, 2017. "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers 18/17, Monash University, Department of Econometrics and Business Statistics.
• Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
• Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017. "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 222-238, Enero-Mar.
• Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017. "Evaluación del efecto de la psicología del inversionista en un mercado bursátil artificial mediante su grado de eficiencia," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1345-1360, Octubre-D.
• Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017. "Evaluation of the effect of investor psychology on an artificial stock market through its degree of efficiency," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1361-1376, Octubre-D.
• Marcin Flotyński, 2017. "Basel III long-term liquidity standard in the context of the profitability of banks and volatility of their stock prices – quantitative analysis for the euro area," NBP Working Papers 274, Narodowy Bank Polski.
• Gustavo S Cortes & Marc D Weidenmier, 2019. "Stock Volatility and the Great Depression," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3544-3570.
  • Gustavo S. Cortes & Marc D. Weidenmier, 2017. "Stock Volatility and the Great Depression," NBER Working Papers 23554, National Bureau of Economic Research, Inc.
• William N. Goetzmann & Dasol Kim, 2018. "Negative bubbles: What happens after a crash," European Financial Management, European Financial Management Association, vol. 24(2), pages 171-191, March.
  • William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
• Igor ENICOV, 2017. "Applying Petri Nets Extensions To Modeling Commercial Bank Activity," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 1-2, pages 90-94.
• Júlio Lobão, 2017. "O efeito de smart money nos fundos de investimento: o caso português [The smart money effect in mutual funds: the Portuguese case]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 27(1), pages 241-270, January-A.
• Abdinardo Moreira Barreto de Oliveira & Joséte Florencio dos Santos, 2017. "Previsões de razões ótimas de hedge para a manga exportada brasileira [Forecasting of optimal hedge ratios for the Brazilian exported mango]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 27(3), pages 671-703, September.
• Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017. "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, vol. 4(2), pages 83-106, September.
• Hom Nath Gaire, 2017. "Stock Index, Interest Rate and Gold Price of Nepal: Cointegration and Causality Analysis," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 29(2), pages 15-30, October.
• Emil Asenov, 2017. "Model for Insurance Fraud Risk Assessment and Prevention," Godishnik na UNSS, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 47-59, December.
• H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
  • Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.
  • Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
• Igor Enicov & Emilian Gutuleac, 2017. "Modeling Activities Of Commercial Bank Through Petri Nets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 325-334, July.
• Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
• Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017. "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 36-61.
• João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
  • René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 418-426.
• Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
  • Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers 15-140/III, Tinbergen Institute, revised 19 Apr 2017.
• Egon A. Kalotay & Edward I. Altman, 2017. "Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses," Review of Finance, European Finance Association, vol. 21(1), pages 433-463.
• Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2017. "Hedge Fund Replication: A Model Combination Approach," Review of Finance, European Finance Association, vol. 21(4), pages 1767-1804.
• Mark Paddrik & Sriram Rajan & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.
  • H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
• Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.
  • H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
  • Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
• Tascón, María T. & Castaño, Francisco J., 2017. "Selection of Variables in Small Business Failure Analysis: Mean Selection vs. Median Selection || Selección de variables en el análisis de fracaso de empresas pequeñas: selección de medias frente a se," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 24(1), pages 54-88, Diciembre.
• Austin Shelton, 2017. "The value of stop-loss, stop-gain strategies in dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 124-143, March.
• Rania Jammazi & Duc Khuong Nguyen, 2017. "Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(11), pages 1352-1362, November.
• Casper Agaton, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," International Journal of Sustainable Energy and Environmental Research, Conscientia Beam, vol. 6(2), pages 50-62, 06-2017.
  • Agaton, Casper, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," MPRA Paper 83798, University Library of Munich, Germany.
• Casper Agaton, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," International Journal of Sustainable Energy and Environmental Research, Conscientia Beam, vol. 6(2), pages 50-62.
  • Agaton, Casper, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," MPRA Paper 83798, University Library of Munich, Germany.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
• Ganna Gridina, 2017. "Фінансовий Лізинг: Проблеми Та Перспективи Розвитку В Україні [Financial Leasing: Problems and Prospects of Development in Ukraine]," Traektoriâ Nauki = Path of Science, Altezoro, s.r.o. & Dialog, vol. 3(9(26)), pages 3019-3025, September.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017. "The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sense," MPRA Paper 109030, University Library of Munich, Germany, revised 16 Sep 2017.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017. "The dual index model - Empirical proof of an astute model that augurs stock prices across assorted sectors," MPRA Paper 109031, University Library of Munich, Germany, revised Feb 2017.
• CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
• Michel Alexandre & Giovani A. S. Brito & Theo C. Martins, . "Default contagion among credit modalities: evidence from Brazilian data," Journal of Credit Risk, Journal of Credit Risk.
  • Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
• Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 237-247, October.
  • Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper 77147, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2017. "Investment in capital markets," MPRA Paper 77414, University Library of Munich, Germany.
• Egorova, Yana, 2017. "Инвестирование Денежных Средств В Условиях Экономического Кризиса В 2017 Году," MPRA Paper 77648, University Library of Munich, Germany.
• Jamalludin, Nadia, 2017. "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper 78422, University Library of Munich, Germany.
• Jamalludin, Nadia, 2017. "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper 78423, University Library of Munich, Germany.
• Sofi, Farah Nuramalina, 2017. "The Relationship of RHB Bank Berhad’s Profitability with Leverage and Size (Total Asset)," MPRA Paper 78499, University Library of Munich, Germany.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• FERROUHI, El Mehdi, 2017. "Determinants of bank deposits in Morocco," MPRA Paper 79075, University Library of Munich, Germany.
• Quaas, Georg, 2017. "Irrungen und Wirrungen im Umfeld der Geldtheorie: Wohin einseitige Darstellungen der Zentralbanken führen [Aberrations and confusions of the theory of money: Where ambiguous formulations lead to]," MPRA Paper 79735, University Library of Munich, Germany.
• Bukvić, Rajko & Pavlović, Radica & Gajić, Aleksandar, 2017. "Static and Dynamic Indicators in the Analysis of Internal Sources of Companies’ Investments Financing," MPRA Paper 79810, University Library of Munich, Germany, revised 2017.
• Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
• Lindblad, Annika, 2017. "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper 80266, University Library of Munich, Germany.
• Bell, Peter, 2017. "Example of a Rising NPV Profile for a Mining Project," MPRA Paper 81353, University Library of Munich, Germany.
• Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
  • Pönkä, Harri, 2017. "Sentiment and sign predictability of stock returns," MPRA Paper 81861, University Library of Munich, Germany.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Agaton, Casper, 2017. "Real Options Analysis of Renewable Energy Investment Scenarios in the Philippines," MPRA Paper 83478, University Library of Munich, Germany.
• Casper Agaton, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," International Journal of Sustainable Energy and Environmental Research, Conscientia Beam, vol. 6(2), pages 50-62.
  • Agaton, Casper, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," MPRA Paper 83798, University Library of Munich, Germany.
• Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  • Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
• Olkhov, Victor, 2017. "Quantitative Description of Financial Transactions and Risks," MPRA Paper 87316, University Library of Munich, Germany.
• Ekong, Christopher N. & Onye, Kenneth U., 2017. "Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria," MPRA Paper 88309, University Library of Munich, Germany.
• Ayanda Sikhosana & Goodness C. Aye, 2017. "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers 201721, University of Pretoria, Department of Economics.
• Petr Makovsky, 2017. "The Value of the Firm in Dependence on Technological Shocks – the Czech Republic Case," ACTA VSFS, University of Finance and Administration, vol. 11(1), pages 45-60.
• Petr Houdek & Petr Koblovský & Jan Plaček & Luboš Smrčka, 2017. "Causality Illusion and Overconfidence in Predicting (Quasi)Stochastic Financial Events [Iluze kauzality a nadměrná důvěra ve schopnost predikce (kvazi)náhodných finančních událostí]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2017(1), pages 51-63.
• Ján Malega & Roman Horváth, 2017. "Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(3), pages 257-268.
• Voraprapa Nakavachara & Nuarpear Lekfuangfu, 2017. "Predicting the Present Revisited: The Case of Thailand," PIER Discussion Papers 70, Puey Ungphakorn Institute for Economic Research.
• Leslie G. Manison & Savvakis C. Savvides, 2017. "Neglect Private Debt at the Economy’s Peril: Applying Balance Sheet Recession Analysis to the Post Bail-in Cyprus Economy," Development Discussion Papers 2017-06, JDI Executive Programs.
• Savvakis C. Savvides, 2017. "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers 2017-17, JDI Executive Programs.
  • Savvakis C. Savvides, 2017. "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers 2017-17, JDI Executive Programs.
• Savvakis C. Savvides, 2017. "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers 2017-17, JDI Executive Programs.
  • Savvakis C. Savvides, 2017. "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers 2017-17, JDI Executive Programs.
• Alain Kabundi & Asithandile Mbelu, 2021. "Estimating a time-varying financial conditions index for South Africa," Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
  • Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
• Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
  • Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
  • Martin, Ian & Wagner, Christian, 2016. "What is the expected return on a stock?," LSE Research Online Documents on Economics 118957, London School of Economics and Political Science, LSE Library.
  • Martin, Ian & Wagner, Christian, 2019. "What is the expected return on a stock?," LSE Research Online Documents on Economics 90158, London School of Economics and Political Science, LSE Library.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  • Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
  • Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
• Andreea Costea, 2017. "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 157-186, March.
• Dean Fantazzini & Erik Nigmatullin & Vera Sukhanovskaya & Sergey Ivliev, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 5-28.
• Atanu Saha & Alex Rinaudo, 2017. "Downside Risk Protection of Retirement Assets: A New Approach," Journal of Financial Transformation, Capco Institute, vol. 45, pages 111-120.
• Andrew Freeman & Iordanis Karagiannidis & D. Sykes Wilford, 2017. "The Power of “Negative Beta”: Why Every Portfolio Should Include Private Equity," Journal of Financial Transformation, Capco Institute, vol. 45, pages 101-110.
• Emil Mihalina & Ivan Krivicic & Tihomir Antunovic, 2017. "Winter Saeculum," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(1), pages 39-52.
• Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN), 2017. "An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 124-134, June.
• Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
• Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
• Dan Gabriel ANGHEL, 2017. "Intraday Market Efficiency for a Typical Central and Eastern European Stock Market: The Case of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-109, September.
• Nanthakumar LOGANATHAN & Suraya ISMAIL & Dalia STREIMIKIENE & Asan Ali Golam HASSAN & Edmundas Kazimieras ZAVADSKAS & Abbas MARDANI, 2017. "Tax Reform, Inflation, Financial Development And Economic Growth In Malaysia," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 152-165, December.
• Andrey Kudryavtsev & Shosh Shahrabani & Yaniv Azoulay, 2017. "Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better," Bulletin of Applied Economics, Risk Market Journals, vol. 4(1), pages 13-33.
• Michael Day & Mark Diamond & Jeff Card & Jake Hurd & Jianping Xu, 2017. "GARCH model and fat tails of the Chinese stock market returns - New evidences," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 43-49.
• Priviledge Cheteni, 2017. "Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets," Journal of Economics and Behavioral Studies, AMH International, vol. 8(6), pages 237-245.
  • Cheteni, Priviledge, 2016. "Stock market volatility using GARCH models: Evidence from South Africa and China stock markets," MPRA Paper 77355, University Library of Munich, Germany.
• Constantin ANGHELACHE & Madalina-Gabriela ANGHEL & Gyorgy BODO, 2017. "Theoretical Aspects Of The Role Of Information In The Process Of Decisions/Risks Modeling," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 102-111, June.
• Florin Paul Costel LILEA & Andreea – Ioana MARINESCU, 2017. "Macroeconomic Forecast Models – Concepts And Theoretical Notions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 118-123, June.
• Davide De Gaetano, 2017. "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre' 0219, Department of Economics - University Roma Tre.
• Davide De Gaetano, 2017. "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre' 0220, Department of Economics - University Roma Tre.
• Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
• Argel S. Masa & John Francis T. Diaz, 2017. "Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(1), pages 23-53, February.
• Thushari N. Vidanage & Fabrizio Carmignani & Tarlok Singh, 2017. "Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia," South Asian Journal of Macroeconomics and Public Finance, , vol. 6(2), pages 157-177, December.
• Santos, André Alves Portela & Ferreira, Alexandre R., 2017. "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
  • R. Ferreira, Alexandre & A. P. Santos, Andre, 2016. "On the choice of covariance specifications for portfolio selection problems," MPRA Paper 73259, University Library of Munich, Germany.
• Simone Kruse & Thomas Tischer & Timo Wittig, 2017. "A New Empirical Investigation Of The Platinum Spot Returns," Journal of Smart Economic Growth, , vol. 2(2), pages 141-148, September.
• GÜNE? TOPÇU & Ahmet Burak Emel & Tu?çe Özbey Gürkan, 2017. "Early Warning Modeling For Financial Failure: Borsa Istanbul Case," Proceedings of International Academic Conferences 5808259, International Institute of Social and Economic Sciences.
• Macías Villalba, Gloria Inés, 2017. "Pérdidas inesperadas por riesgo operativo en una entidad financiera con Teoría de Cópulas / Unexpected Losses for Operational Risk in a Financial Institution with Copula Theory," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(2), pages 237-268, julio-dic.
• Michał Chojnowski & Piotr Dybka, 2017. "Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(1), pages 1-21, June.
• Hubert Wisniewski, 2017. "Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 162-177.
• Yu-Chin Hsu & Hsiou-Wei Lin & Kendro Vincent, 2017. "Analyzing the Performance of Multi-Factor Investment Strategies under Multiple Testing Framework," IEAS Working Paper : academic research 17-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Boryana Bogdanova & Bozhidar Nedev, 2017. "Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock," Bulgarian Economic Papers bep-2017-11, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Dec 2017.
• David Haab & Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
• Dimitrios Lyridis & Nikolaos Manos & Panayotis Zacharioudakis & Athanassios Pappas & Aristidis Mavris, 2017. "Measuring Tanker Market Future Risk with the use of FORESIM," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 38-53, January-M.
• Umit Bulut, 2017. "Financial Conditions Index as a Leading Indicator of Business Cycles in Turkey," Contributions to Economics, in: Ümit Hacioğlu & Hasan Dinçer (ed.), Global Financial Crisis and Its Ramifications on Capital Markets, pages 225-239, Springer.
• Harri Pönkä, 2017. "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
  • Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
• Hanxiong Zhang & Robert Hudson & Hugh Metcalf & Viktor Manahov, 2017. "Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models," Empirical Economics, Springer, vol. 53(2), pages 617-640, September.
• Fabian Lutzenberger & Benedikt Gleich & Herbert G. Mayer & Christian Stepanek & Andreas W. Rathgeber, 2017. "Metals: resources or financial assets? A multivariate cross-sectional analysis," Empirical Economics, Springer, vol. 53(3), pages 927-958, November.
• Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.
• Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2017. "Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 3(3), pages 343-366, November.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
• Beatriz Vaz de Melo Mendes & Victor Bello Accioly, 2017. "Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 631-658, October.
• Alexandru Mandes & Peter Winker, 2017. "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
  • Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Parthajit Kayal & S. Maheswaran, 2017. "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 329-342, June.
• Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
• Simone Farinelli & Luisa Tibiletti, 2017. "Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets," Operations Research Proceedings, in: Karl Franz Dörner & Ivana Ljubic & Georg Pflug & Gernot Tragler (ed.), Operations Research Proceedings 2015, pages 631-636, Springer.
• Wali Ullah, 2017. "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 453-483, August.
• Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  • Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  • Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
• G. Demos & D. Sornette, 2017. "Birth or burst of financial bubbles: which one is easier to diagnose?," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 657-675, May.
  • Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE, 2015. "Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?," Swiss Finance Institute Research Paper Series 15-57, Swiss Finance Institute.
• V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series 16-12, Swiss Finance Institute.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Papers 1602.08258, arXiv.org.
• J. Daniel Aromí, 2017. "Conventional views and asset prices: What to expect after times of extreme opinions," Journal of Applied Economics, Universidad del CEMA, vol. 20, pages 49-73, May.
  • J. Daniel AromÍ, 2017. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, vol. 20(1), pages 49-73, May.
  • Daniel José Aromí, 2016. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2016-15, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
• Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 10(1), pages 60-71, March.
• Luiz Félix & Roman Kräussl & Philip Stork, 2020. "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 823-849, May.
  • Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
  • Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Levent Bulut, 2017. "Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 1(1), pages 1-13.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
  • Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
• Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
  • Ruenzi, Stefan & Weigert, Florian, 2017. "Momentum and Crash Sensitivity," Working Papers on Finance 1801, University of St. Gallen, School of Finance.
• ŞENOL, Zekai & KARACA, Süleyman Serdar, 2017. "The Effect Of Enterprise Risk Management On Firm Performance: A Case Study On Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(2), pages 6-30.
• Kabaivanov Stanimir & Markovska Veneta, 2017. "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business, Sciendo, vol. 64(4), pages 423-430, December.
• Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
  • Marcin Chlebus, 2016. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers 2016-06, Faculty of Economic Sciences, University of Warsaw.
• Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Statistics Poland, vol. 18(1), pages 91-114, March.
• Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
  • Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, 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.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
• Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, vol. 35(C), pages 1-10.
  • Lorne N. Switzer & Cagdas Tahaoglu & Yun Zhao, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 1-10, November.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  • Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity: An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers 1/2017, Bank of Finland.
• Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
• Luiz Félix & Roman Kräussl & Philip Stork, 2020. "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 823-849, May.
  • Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
  • Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
• Reimers, Benjamin, 2017. "Momentumeffekt: Eine empirische Analyse der DAXsector Indizes des deutschen Prime Standards," Wismar Discussion Papers 01/2017, Hochschule Wismar, Wismar Business School.
• Schlütter, Sebastian, 2017. "Scenario-based capital requirements for the interest rate risk of insurance companies," ICIR Working Paper Series 28/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Han, Liyan & Xu, Yang & Yin, Libo, 2017. "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers 2017-37, Kiel Institute for the World Economy (IfW Kiel).
• Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW Kiel).
• Demary, Markus, 2017. "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports 12/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports 22/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports 31/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Schmidt, Reinhard H., 2017. "Microfinance - once and today," SAFE White Paper Series 48, Leibniz Institute for Financial Research SAFE.
• Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
  • Ahmed Khalif & Massimiliano Caporin & Michele Costola & Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, , vol. 42(6), pages 247-274, November.
  • Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Leibniz Institute for Financial Research SAFE, revised 2017.
• Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers 2017-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Larisa Adamyan & Kirill Efimov & Cathy Y. Chen & Wolfgang K. Härdle, 2020. "Adaptive weights clustering of research papers," Digital Finance, Springer, vol. 2(3), pages 169-187, December.
  • Adamyan, Larisa & Efimov, Kirill & Chen, Cathy Yi-hsuan & Härdle, Wolfgang Karl, 2017. "Adaptive weights clustering of research papers," SFB 649 Discussion Papers 2017-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021. "Picking funds with confidence," Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
  • Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
  • Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers, 2017. "Picking Funds with Confidence," CREATES Research Papers 2017-13, Department of Economics and Business Economics, Aarhus University.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
• Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
  • Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
• Igor ENICOV, 2017. "Applying Petri Nets Extensions To Modeling Commercial Bank Activity," Economy and Sociology, The Journal Economy and Sociology, issue 1-2, pages 90-94.
• Jumadil Saputra & Suhal Kusairi & Nur Azura Sanusi, 2017. "Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الحياة)," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 30(2), pages 135-157, July.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2020. "Improving forecast accuracy of financial vulnerability: PLS factor model approach," Economic Modelling, Elsevier, vol. 88(C), pages 341-355.
  • Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Ko, Kyunghwan, 2018. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper 89449, University Library of Munich, Germany.
• Stanimir Kabaivanov & Veneta Markovska, 2017. "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(4), pages 423-430, December.
• Stanimir Kabaivanov & Veneta Markovska, 2017. "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(4), pages 423-430, December.
• Nikolaos Stoupos & Apostolos Kiohos, 2017. "Post-Communist Countries of the EU and the Euro: Dynamic Linkages between Exchange Rates," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 67(4), pages 511-538, December.
• Ormos Mihály & Timotity Dusán, 2017. "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 17(2), pages 1-14, June.
  • Mihaly Ormos & Dusan Timotity, 2017. "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers 1704.05332, arXiv.org.
• Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
  • Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
• Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
  • Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
  • Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
• Doncho Donev, 2017. "Price bubbles and financial markets efficiency," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 115-131.
• Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
• Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
  • José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
• Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  • José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
• Pinar KAYA & Bulent GULOGLU, 2017. "Modeling and Forecasting the Markets Volatility and VaR Dynamics of Commodity," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 11(1), pages 9-49.
• Santiago Gamba & Oscar Jaulín & Angélica Lizarazo & Juan Carlos Mendoza & Paola Morales & Daniel Osorio & Eduardo Yanquen, 2017. "SYSMO I: A Systemic Stress Model for the Colombian Financial System," Borradores de Economia 1028, Banco de la Republica de Colombia.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
• BRATIAN Vasile, 2017. "Portfolio Optimization - Application Of Sharpe Model Using Lagrange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(5), pages 8-21, December.
• Chiranjit Chakraborty & Andreas Joseph, 2017. "Machine learning at central banks," Bank of England working papers 674, Bank of England.
• Will Dison & Konstantinos Theodoridis, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity : An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland, Institute for Economies in Transition.
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach," Working Papers 2017-14, Economic Research Institute, Bank of Korea.
• Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.
• Ormos Mihály & Timotity Dusán, 2017. "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 17(2), pages 1-14, June.
  • Mihaly Ormos & Dusan Timotity, 2017. "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers 1704.05332, arXiv.org.
• Kraicová Lucie & Baruník Jozef, 2017. "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
  • Jozef Baruník & Lucie Kraicová, 2014. "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES 2014/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
  • Kraicova, Lucie & Barunik, Jozef, 2015. "Estimation of long memory in volatility using wavelets," FinMaP-Working Papers 33, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Chong Terence Tai-Leung & Poon Ka-Ho, 2017. "A new recognition algorithm for “head-and-shoulders” price patterns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
  • Chong, Terence Tai Leung & Poon, Ka-Ho, 2014. "A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns," MPRA Paper 60825, University Library of Munich, Germany.
• Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
  • Nick Taylor, 2017. "Timing Strategy Performance in the Crude Oil Futures Market," Bristol Accounting and Finance Discussion Papers 17/7, School of Accounting and Finance, University of Bristol, UK.
• J. Daniel AromÍ, 2017. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, vol. 20(1), pages 49-73, May.
  • J. Daniel Aromí, 2017. "Conventional views and asset prices: What to expect after times of extreme opinions," Journal of Applied Economics, Universidad del CEMA, vol. 20, pages 49-73, May.
  • Daniel José Aromí, 2016. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2016-15, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
• Ke WU & Spencer WHEATLEY & Didier SORNETTE, 2017. "The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability," Swiss Finance Institute Research Paper Series 17-12, Swiss Finance Institute.
• Zhang Qun & Didier Sornette & Hao Zhang, 2017. "Anticipating Critical Transitions of Chinese Housing Markets," Swiss Finance Institute Research Paper Series 17-18, Swiss Finance Institute.
• Damian Smug & Peter Ashwin & Didier Sornette, 2017. "Predicting Financial Market Crashes Using Ghost Singularities," Swiss Finance Institute Research Paper Series 17-23, Swiss Finance Institute.
• Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
• Alexey Ivashchenko, 2017. "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series 17-67, Swiss Finance Institute, revised Jan 2018.
• José Miguel Hernández Arango & Luis Fernando Carvajal-Serna, 2017. "Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 191-222.
• Fernando Corena, 2017. "Estimación del valor económico transferido al municipio de Montelibano por parte de la actividad de una empresa de explotación minera ante un escenario de cierre de actividades de la mina en el 2029," Revista CIFE, Universidad Santo Tomás, vol. 19(30), pages 79-100.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017. "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-31.
• Juan Carlos Gutierrez Betancur, 2017. "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, vol. 21(44), pages 37-71.
• Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021. "Picking funds with confidence," Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
  • Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers, 2017. "Picking Funds with Confidence," CREATES Research Papers 2017-13, Department of Economics and Business Economics, Aarhus University.
  • Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  • Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  • Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  • Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
  • Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
• Cukierman, Alex & Lustenberger, Thomas, 2017. "International evidence on professional interest rates forecasts: The impact of forecasting ability," CEPR Discussion Papers 12489, C.E.P.R. Discussion Papers.
  • Alex Cukierman & Thomas Lustenberger, 2018. "International Evidence on Professional Interest Rate Forecasts: The Impact of Forecasting Ability," Working Papers 2018-10, Swiss National Bank.
• Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
  • Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
  • Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
• Mawuli Segnon & Mark Trede, 2018. "Forecasting market risk of portfolios: copula-Markov switching multifractal approach," The European Journal of Finance, Taylor & Francis Journals, vol. 24(14), pages 1123-1143, September.
  • Mawuli Segnon & Mark Trede, 2017. "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers 6617, Center for Quantitative Economics (CQE), University of Muenster.
• Guoshi Tong, 2017. "Market Timing under Limited Information: An Empirical Investigation in US Treasury Market," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 291-322, November.
• Afees A. Salisu & Umar B. Ndako, 2017. "Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach," Working Papers 028, Centre for Econometric and Allied Research, University of Ibadan.
• Kyoung-SookMOON & Heejean KIM & Hongjoong KIM, 2017. "A Prediction Methodology for the Change of the Values of Financial Products," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(3), pages 197-210.
• Stefan SIMEONOV, 2017. "A Methodology For Trend Analysis Of Stock Exchange Activities, Based On Indicator Signals And Frequency Volatility," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 21-39.
• Стефан Симеонов, 2017. "Методика За Анализ На Тренда В Борсовата Активност, Базирана На Индикаторните Сигнали И Честотната Променливост," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 24-44.
• Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige, 2017. "SenSR: A sentiment-based systemic risk indicator," DNB Working Papers 553, Netherlands Central Bank, Research Department.
• Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
• Kok, Christoffer & Mirza, Harun & Pancaro, Cosimo, 2019. "Macro stress testing euro area banks’ fees and commissions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 97-119.
  • Kok, Christoffer & Pancaro, Cosimo & Mirza, Harun, 2017. "Macro stress testing euro area banks' fees and commissions," Working Paper Series 2029, European Central Bank.
• Camba-Méndez, Gonzalo & Werner, Thomas, 2017. "The inflation risk premium in the post-Lehman period," Working Paper Series 2033, European Central Bank.
• Gerba, Eddie & Żochowski, Dawid, 2017. "Knightian uncertainty and credit cycles," Working Paper Series 2068, European Central Bank.
• Ivan Jaccard & Frank Smets, 2020. "Structural Asymmetries and Financial Imbalances in the Eurozone," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 73-102, April.
  • Jaccard, Ivan & Smets, Frank, 2017. "Structural asymmetries and financial imbalances in the eurozone," Working Paper Series 2076, European Central Bank.
  • Ivan Jaccard, 2019. "Structural Asymmetries and Financial Imbalances," 2019 Meeting Papers 988, Society for Economic Dynamics.
• Andr Tomfort, 2017. "Detecting Asset Price Bubbles: A Multifactor Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 46-55.
• Zaidi Isa & Nur Amalina Shafie, 2017. "A Stochastic Approach for Determining Profit Rate of Islamic Financing Products," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 154-163.
• Mustapha Ammari & Ghizlane Lakhnat, 2017. "Default-implied Asset Correlation: Empirical Study for Moroccan Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 415-425.
• Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
• Mustapha Ammari & Ghizlane Lakhnati, 2017. "Loss Given Default Estimating by the Conditional Minimum Value," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 779-785.
• Hojatollah Atashi Golestani & Seyyed Mohammad Hosseini & Ehsan Mehrjoo, 2017. "Separating and Merging Cash Flows: Investigating Five-element Cash Flows Statement," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 54-61.
• Naliniprava Tripathy, 2017. "Forecasting Gold Price with Auto Regressive Integrated Moving Average Model," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 324-329.
• I. Made Suidarma & Yulia Indrawati & I. Gusti Nengah Darma Diatmika & I. Nyoman Anggaradana, 2017. "Financial System Vulnerability Indicators in Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 299-306.
• Vasile Bratian & Claudiu Opreana & Amelia Bucur, 2017. "Evaluation of the Stock Quote Stochastic Approach, Market Efficiency and Technical Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 307-316.
• Chan, Konan & Li, Fengfei & Lin, Ji-Chai & Lin, Tse-Chun, 2017. "What do stock price levels tell us about the firms?," Journal of Corporate Finance, Elsevier, vol. 46(C), pages 34-50.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  • Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
• Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
• Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
• Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
• Liu, Zhangxin (Frank) & Faff, Robert, 2017. "Hitting SKEW for SIX," Economic Modelling, Elsevier, vol. 64(C), pages 449-464.
• Galanti, Sébastien & Vaubourg, Anne Gaël, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Economic Modelling, Elsevier, vol. 67(C), pages 325-337.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Post-Print hal-01724257, HAL.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Working Papers hal-01724253, HAL.
  • Sébastien GALANTI & Anne-Gaël VAUBOURG, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," LEO Working Papers / DR LEO 2493, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
• Ng, Kok Haur & Peiris, Shelton & Chan, Jennifer So-kuen & Allen, David & Ng, Kooi Huat, 2017. "Efficient modelling and forecasting with range based volatility models and its application," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 448-460.
• Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M., 2017. "Application of wavelet decomposition in time-series forecasting," Economics Letters, Elsevier, vol. 158(C), pages 41-46.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  • Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
• Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.
• Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
  • Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
• Khimich, Natalya, 2017. "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 31-52.
• Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
• Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  • Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
• Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
• Risse, Marian & Ohl, Ludwig, 2017. "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 158-176.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
• Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017. "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, vol. 63(C), pages 129-143.
• Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
• Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
• Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
• Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.
• Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
• Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
• Afkhami, Mohamad & Cormack, Lindsey & Ghoddusi, Hamed, 2017. "Google search keywords that best predict energy price volatility," Energy Economics, Elsevier, vol. 67(C), pages 17-27.
• Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  • Amélie Charles & Olivier Darné, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Post-Print hal-01598141, HAL.
• Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017. "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, vol. 68(C), pages 240-254.
• Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
• Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh & Tegnér, Martin & Skajaa, Anders, 2017. "Hedging local volume risk using forward markets: Nordic case," Energy Economics, Elsevier, vol. 68(C), pages 490-514.
• Degiannakis, Stavros & Potamia, Artemis, 2017. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
  • Degiannakis, Stavros & Potamia, Artemis, 2016. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper 74670, University Library of Munich, Germany.
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
• Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
• Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
• Svec, Jiri & Katrak, Xerxis, 2017. "Forecasting volatility with interacting multiple models," Finance Research Letters, Elsevier, vol. 20(C), pages 245-252.
• Basu, Anup K. & Wiafe, Osei K., 2017. "Impact of persistent bad returns and volatility on retirement outcomes," Finance Research Letters, Elsevier, vol. 21(C), pages 201-205.
• Dömötör, Barbara, 2017. "Optimal hedge ratio in a biased forward market under liquidity constraints," Finance Research Letters, Elsevier, vol. 21(C), pages 259-263.
• Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
• Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
• Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
• Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  • Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper series 16-25, Rimini Centre for Economic Analysis.
• Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
• Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
• Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
• Buchner, Axel & Mohamed, Abdulkadir & Saadouni, Brahim, 2017. "The association between earnings forecast in IPOs prospectuses and earnings management: An empirical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 92-105.
• Taylor, Nick, 2017. "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 770-785.
• León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
• Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
• Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017. "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 129-141.
• Egami, M. & Kevkhishvili, R., 2017. "An analysis of simultaneous company defaults using a shot noise process," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 135-161.
• Cole, Rebel A. & White, Lawrence J., 2017. "When time is not on our side: The costs of regulatory forbearance in the closure of insolvent banks," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 235-249.
• Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
• Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.
• Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
  • Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
  • Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
• Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
• Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
• Lansing, Kevin J. & Ma, Jun, 2017. "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 62-87.
  • Kevin J. Lansing & Jun Ma, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco.
• Adelino, Manuel & Scott Frame, W. & Gerardi, Kristopher, 2017. "The effect of large investors on asset quality: Evidence from subprime mortgage securities," Journal of Monetary Economics, Elsevier, vol. 87(C), pages 34-51.
  • Manuel Adelino & W. Scott Frame & Kristopher Gerardi, 2014. "The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities," FRB Atlanta Working Paper 2014-4, Federal Reserve Bank of Atlanta.
• Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
• Park, Sung Y. & Ryu, Doojin & Song, Jeongseok, 2017. "The dynamic conditional relationship between stock market returns and implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 638-648.
• Abu-Alkheil, Ahmad & Khan, Walayet A. & Parikh, Bhavik & Mohanty, Sunil K., 2017. "Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 212-224.
• Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017. "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 1-16.
• Buncic, Daniel & Tischhauser, Martin, 2017. "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
  • Buncic, Daniel & Tischhauser, Martin, 2015. "Macroeconomic Factors and Equity Premium Predictability," Economics Working Paper Series 1522, University of St. Gallen, School of Economics and Political Science.
• Lorne N. Switzer & Cagdas Tahaoglu & Yun Zhao, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 1-10, November.
  • Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, vol. 35(C), pages 1-10.
• Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
• Stoupos, Nikolaos & Kiohos, Apostolos, 2017. "EU unification and linkages among the European currencies: new evidence from the EU and the EEA," Research in International Business and Finance, Elsevier, vol. 41(C), pages 28-36.
• Nadal, Raquel & Szklo, Alexandre & Lucena, André, 2017. "Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1011-1020.
• French, Jordan, 2017. "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 124-148.
• Jadhao, Gaurav & Chandra, Abhijeet, 2017. "Application of VIX and entropy indicators for portfolio rotation strategies," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1367-1371.
• Michael Lachanski & Steven Pav, 2017. "Shy of the Character Limit: "Twitter Mood Predicts the Stock Market" Revisited," Econ Journal Watch, Econ Journal Watch, vol. 14(3), pages 302–345-3, September.
• Thomas Walther, 2017. "Expected shortfall in the presence of asymmetry and long memory," Pacific Accounting Review, Emerald Group Publishing Limited, vol. 29(2), pages 132-151, April.
• Amal Hamrouni & Ramzi Benkraiem & Majdi Karmani, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 16(2), pages 260-280, May.
• Amal Hamrouni & Ramzi Benkraiem & Majdi Karmani, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 16(2), pages 260-280, May.
  • Hamrouni Amal & Ramzi Benkraiem & Karmani Majdi, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Post-Print hal-01528402, HAL.
• Samit Paul & Prateek Sharma, 2017. "Improved VaR forecasts using extreme value theory with the Realized GARCH model," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(2), pages 238-259, June.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
• Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
  • Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
  • Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
• Valentin EPURE, 2017. "Analysis of Structural Breaks in BET Index," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, vol. 3(1), pages 21-34, June.
• Petar Pierre Matek & Masa Galic, 2017. "The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(4), pages 342-369, August.
• Matej Nevrla, 2017. "Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach," Working Papers IES 2017/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2017.
• Jozef Barunik & Lucie Kraicova, 2017. "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES 2017/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
• Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
  • Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(1), May.
  • Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics 2015_08, University of São Paulo (FEA-USP).
• Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
• Michelle L. Barnes & Giovanni P. Olivei, 2017. "Financial variables and macroeconomic forecast errors," Working Papers 17-17, Federal Reserve Bank of Boston.
• Knotek, Edward S. & Zaman, Saeed, 2019. "Financial nowcasts and their usefulness in macroeconomic forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
  • Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
• Daniel J. Wilson, 2019. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses," American Economic Review: Insights, American Economic Association, vol. 1(3), pages 373-388, December.
  • Daniel J. Wilson, 2017. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses," Working Paper Series 2017-13, Federal Reserve Bank of San Francisco.
• Scott A. Brave & Jose A. Lopez, 2019. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 15(1), pages 1-59, March.
  • Scott A. Brave & Jose A. Lopez, 2018. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," Working Paper Series 2017-17, Federal Reserve Bank of San Francisco.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
  • Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
• Serhat YÜKSEL, İsmail CANÖZ, Zafer ADALI, 2017. "Türkiye’deki Mevduat Bankalarının Fiyat-Kazanç Oranını Etkileyen Değişkenlerin Mars Yöntemi İle Belirlenmesi," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Ionuț Cosmin Năstase, 2017. "Previziunea evenimentelor extreme pe piețele financiare," Journal of Financial Studies, Institute of Financial Studies, vol. 3(2), pages 125-139, June.
• Ionut Cosmin Nastase, 2017. "Forecasting extreme events on financial markets," Scientific Papers 0003, Institute of Financial Studies.
• Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1-20, July.
  • Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers 17-07, University of Copenhagen. Department of Economics.
• Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 237-247, October.
  • Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper 77147, University Library of Munich, Germany.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
• Amal Hamrouni & Ramzi Benkraiem & Majdi Karmani, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 16(2), pages 260-280, May.
  • Hamrouni Amal & Ramzi Benkraiem & Karmani Majdi, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Post-Print hal-01528402, HAL.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Journal of Bioeconomics, Springer, vol. 19(2), pages 223-245, July.
  • Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Post-Print hal-01530808, HAL.
• Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  • Amélie Charles & Olivier Darné, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Post-Print hal-01598141, HAL.
• Galanti, Sébastien & Vaubourg, Anne Gaël, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Economic Modelling, Elsevier, vol. 67(C), pages 325-337.
  • Sébastien GALANTI & Anne-Gaël VAUBOURG, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," LEO Working Papers / DR LEO 2493, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Post-Print hal-01724257, HAL.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Working Papers hal-01724253, HAL.
• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
• Galanti, Sébastien & Vaubourg, Anne Gaël, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Economic Modelling, Elsevier, vol. 67(C), pages 325-337.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Post-Print hal-01724257, HAL.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Working Papers hal-01724253, HAL.
  • Sébastien GALANTI & Anne-Gaël VAUBOURG, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," LEO Working Papers / DR LEO 2493, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "How to Estimate Beta?," Hannover Economic Papers (HEP) dp-617, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2019. "The term structure of systematic and idiosyncratic risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 435-460, April.
  • Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
  • Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017. "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP) dp-619, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "International tail risk and World Fear," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 244-259.
  • Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Lundström, Christian, 2017. "On the Returns of Trend-Following Trading Strategies," Umeå Economic Studies 948, Umeå University, Department of Economics.
• Hideyuki Takamizawa, 2018. "A term structure model of interest rates with quadratic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1173-1198, July.
  • TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
• Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Data Science & Digital Society," SFB 649 Discussion Papers SFB649DP2017-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers SFB649DP2017-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Nataliya Trusova, 2017. "Structure of the Total Financial Potential of Agriculture: Regional Aspect," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 119-125, September.
• Nataliya Trusova, 2017. "Environment of Multifactorial Risk in the Financial System of Agribusiness Enterprises," Oblik i finansi, Institute of Accounting and Finance, issue 4, pages 127-138, December.
• Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017. "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 88-102, November.
• Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  • Gaglianone, Wagner Piazza & Dutra Areosa, Waldyr, 2017. "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers) 8488, Inter-American Development Bank.
• Aditya Anta Taruna & Cicilia A. Harun, 2017. "Micro Risk Assessment Dalam Estimasi Risiko Kredit Perbankan," Working Papers WP/3/2017, Bank Indonesia.
• Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017. "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 16(1), pages 1-19, June.
• Gabriel Rodriguez, 2017. "Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 32(1), pages 69-94, April.
• Oscar Valdemar De la Torre Torres & Luis Guadalupe Macías Trejo, 2017. "Los beneficios de la inversión socialmente responsable en el desempeño de fondos de pensiones mexicanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(3), pages 67-87, Julio-Sep.
• Alberto Saavedra Espinosa, 2017. "Estimation of Market Risk Measures in Mexican Financial Time Series," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(4), pages 365-388, Octubre-D.
• William A. Barnett & Liting Su, 2017. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach1," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201707, University of Kansas, Department of Economics, revised Oct 2017.
• Hideharu Funahashi & Masaaki Kijima, 2017. "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, vol. 13(1), pages 55-74, February.
• Takayuki Morimoto & Yoshinori Kawasaki, 2017. "Forecasting Financial Market Volatility Using a Dynamic Topic Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 149-167, September.
• Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017. "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 169-191, September.
• D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017. "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 499-516, March.
• Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Journal of Bioeconomics, Springer, vol. 19(2), pages 223-245, July.
  • Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Post-Print hal-01530808, HAL.
• Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
• Dorra Najar, 2017. "Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 239-263, January.
• Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2017. "Copula-based factor model for credit risk analysis," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 949-971, November.
  • Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015. "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers 2015-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Diana-Maria Chis & Cristina Ciumas & Emilia-Anuta Corovei, 2017. "Equilibrium Prices Of Guarantees Under Unit-Linked Life Insurance Contracts," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 9(2), pages 47-53, June.
• Ouael EL JEBARI & Abdelati HAKMAOUI, 2017. "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, KSP Journals, vol. 4(4), pages 388-399, December.
• Jaydip SEN & Tamal DATTA CHAUDHURI, 2017. "A Predictive Analysis of the Indian FMCG Sector using Time Series Decomposition - Based Approach," Journal of Economics Library, KSP Journals, vol. 4(2), pages 206-226, June.
• Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1-20, July.
  • Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers 17-07, University of Copenhagen. Department of Economics.
• Katarina Juselius, 2017. "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers 17-08, University of Copenhagen. Department of Economics.
• Dr. Tobias Böing & Prof. Dr. Georg Stadtmann, 2017. "Money Growth and Aggregate Stock Returns," Credit and Capital Markets, Credit and Capital Markets, vol. 50(4), pages 489-508.
• José Hernández & Fernando Carvajal-Serna, 2017. "Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 191-222, Julio - D.
• Galanti, Sébastien & Vaubourg, Anne Gaël, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Economic Modelling, Elsevier, vol. 67(C), pages 325-337.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Post-Print hal-01724257, HAL.
  • Sébastien GALANTI & Anne-Gaël VAUBOURG, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," LEO Working Papers / DR LEO 2493, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Sébastien Galanti & Anne-Gaël Vaubourg, 2017. "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Working Papers hal-01724253, HAL.
• García, Sonía & Pavía, José M. & Veres Ferrer, Ernesto Jesús & Lledó, Josep, 2017. "Una herramienta de cálculo para la predicción de los Requerimientos de Capital en seguros de vida/A tool for Predicting Solvency Capital Requirements in Life Insurance," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 35, pages 367-394, Mayo.
• Mohseni, Hossein & Botshekan, mohammad Hashem, 2017. "Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(31), pages 1-28, April.
• mirzadeh, fatemeh, 2017. "Check the Efficiency of Futures Gold Coin: The Role of Maturity and Open Commitment Position (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(32), pages 227-246, July.

2016

• Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
• Ivan LUCHIAN & George BALAN, 2016. "Financial Mechanisms Of Financial Crises," Economy and Sociology, The Journal Economy and Sociology, issue 3, pages 82-87.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
• Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
  • Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
• Alexis Bienvenüe & Christian Y. Robert, 2016. "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  • Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
  • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
• Shah, Anand, 2016. "Pricing of Rainfall Insurance in India using Gaussian and t Copulas," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236288, Agricultural Economics Society.
• Vlasta Kašparovská & Jana Laštůvková & Luboš Střelec, 2016. "Is the Exchange Rate a Factor of Bank Liquidity Changes? Study of the Czech Republic," Society and Economy, Akadémiai Kiadó, Hungary, vol. 38(3), pages 359-374, September.
• J. Daniel AromÍ, 2017. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, vol. 20(1), pages 49-73, May.
  • J. Daniel Aromí, 2017. "Conventional views and asset prices: What to expect after times of extreme opinions," Journal of Applied Economics, Universidad del CEMA, vol. 20, pages 49-73, May.
  • Daniel José Aromí, 2016. "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2016-15, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
• Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
  • Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
• V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series 16-12, Swiss Finance Institute.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Papers 1602.08258, arXiv.org.
• Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo.
  • Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.
• Yurii Gudz & Tetyana Zadnipranna, 2016. "Research Methodology Fundamentals Of The Ukrainian Processing And Manufacturing Enterprises Economic Potential," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(1).
• Yulia Yelnikova, 2016. "Relationship Derivatives Financial Markets, Money And Stock Markets As A Subsystem Of Financial Market," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(1).
• Nazar Moroz, 2016. "Regional Features Of The Global Market Of Syndicated Lending," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(2).
• Valentyn Khokhlov, 2016. "Perold-Sharpe Rebalancing Strategies In Practice," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(3).
• Tatiana Nazarova, 2016. "Financial Capacity Of Industrial Enterprise," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(3).
• Haibin Xie & Qilin Qin & Shouyang Wang, 2016. "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 19-31, November.
• Doncho Donev, 2016. "Applying the stock evaluation models on the Bulgarian stock market," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 109-124.
• Fuchun Li & Hongyu Xiao, 2016. "Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach," Staff Working Papers 16-21, Bank of Canada.
• Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  • Gaglianone, Wagner Piazza & Dutra Areosa, Waldyr, 2017. "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers) 8488, Inter-American Development Bank.
• Cañón Salazar Carlos Iván & Gallón Santiago & Olivar Santiago, 2016. "Functional Systemic Risk, Complementarities and Early Warnings," Working Papers 2016-12, Banco de México.
• Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics 18, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can internet search queries help to predict stock market volatility?," CFR Working Papers 11-15, University of Cologne, Centre for Financial Research (CFR).
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  • Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
• Karen Braun-Munzinger & Zijun Liu & Arthur Turrell, 2016. "An agent-based model of dynamics in corporate bond trading," Bank of England working papers 592, Bank of England.
• David Murphy & Michalis Vasios & Nicholas Vause, 2016. "A comparative analysis of tools to limit the procyclicality of initial margin requirements," Bank of England working papers 597, Bank of England.
• Yuliya Baranova & Zijun Liu & Joseph Noss, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
• Fisher, Jack & Rachel, Lukasz, 2017. "Assessing vulnerabilities to financial shocks in some key global economies," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 10(1), pages 12-35, February.
  • Rachel Lukasz & Jack Fisher, 2016. "Assessing vulnerabilities to financial shocks in some key global economies," Bank of England working papers 636, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  • Dimitris Malliaropulos & Petros M. Migiakis, 2016. "The re-pricing of sovereign risks following the global financial crisis," Working Papers 210, Bank of Greece.
• Bekierman Jeremias & Gribisch Bastian, 2016. "Estimating stochastic volatility models using realized measures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 279-300, June.
• Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
• Taylor, Nick, 2017. "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 770-785.
  • Nick Taylor, 2016. "Realised Variance Forecasting Under Box-Cox Transformations," Bristol Accounting and Finance Discussion Papers 16/4, School of Accounting and Finance, University of Bristol, UK.
• Daniella Acker, 2016. "Prediction Markets: Reality and Theory," Bristol Accounting and Finance Discussion Papers 16/5, School of Accounting and Finance, University of Bristol, UK.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers 1/2017, Bank of Finland.
• Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
• Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
• Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.
  • Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity: An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo.
• Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
• Didier Sornette & Sandra Andraszewicz & Ryan O. Murphy & Philipp B. Rindler & Dorsa Sanadgol, 2016. "Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles," Swiss Finance Institute Research Paper Series 16-08, Swiss Finance Institute.
• V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Papers 1602.08258, arXiv.org.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series 16-12, Swiss Finance Institute.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series 16-53, Swiss Finance Institute.
• Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
  • Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
  • Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
• Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series 16-62, Swiss Finance Institute.
• Dakhlaoui, Imen & Aloui, Chaker, 2016. "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, vol. 146(C), pages 141-157.
  • Imen Dakhlaoui & Chaker Aloui, 2016. "The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets," International Economics, CEPII research center, issue 146, pages 141-157.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
  • René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Gustavo Peralta, 2016. "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2016. "Modelación de la asimetría y la curtosis condicionales en series financieras colombianas," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 76.
• 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, 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 11824, Universidad EAFIT.
  • Hernan Herrera-Echeverri, 2016. "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 14973, Universidad EAFIT.
• Miller Ariza, 2016. "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-46.
• José Carlos Trejo García & Humberto R�os Bol�var & Francisco Almagro V�zquez, 2016. "Actualización del modelo de riesgo crediticio, una necesidad para la banca revolvente en México," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 8(1), pages 17-30.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016. "A modelling framework for analysing the role of superannuation in Australia's financial system," Centre of Policy Studies/IMPACT Centre Working Papers g-266, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016. "Superannuation and Macroeconomic Growth and Stability," Centre of Policy Studies/IMPACT Centre Working Papers g-267, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Dorota Krupa & Michal Buszko, 2016. "Characteristics and prospects of development of securitisation investment funds market in Poland," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 15(3), pages 357-370, September.
• Aron, Janine & Muellbauer, John, 2016. "“Modelling and forecasting mortgage delinquency and foreclosure in the UK.”," Journal of Urban Economics, Elsevier, vol. 94(C), pages 32-53.
  • Janine Aron & John Muellbauer, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," Economics Series Working Papers 793, University of Oxford, Department of Economics.
  • Muellbauer, John & Aron, Janine, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," CEPR Discussion Papers 11236, C.E.P.R. Discussion Papers.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
  • Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
  • Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
• Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
  • Martin, Ian & Wagner, Christian, 2016. "What is the expected return on a stock?," LSE Research Online Documents on Economics 118957, London School of Economics and Political Science, LSE Library.
  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
  • Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
  • Martin, Ian & Wagner, Christian, 2019. "What is the expected return on a stock?," LSE Research Online Documents on Economics 90158, London School of Economics and Political Science, LSE Library.
• Till Weigt & Bernd Wilfling, 2016. "A new combination approach to reducing forecast errors with an application to volatility forecasting," CQE Working Papers 4616, Center for Quantitative Economics (CQE), University of Muenster.
• Alessandro Spelta, 2016. "A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs," DISCE - Working Papers del Dipartimento di Economia e Finanza def036, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
• Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  • Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  • Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
• Iulia LUPU & Gheorghe HURDUZEU & Mariana NICOLAE, 2016. "Connections Between Sentiment Indices And Reduced Volatilities Of Sustainability Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 157-174.
• Marcel Ioan BOLOS & Diana Claudia SABĂU-POPA & Emil SCARLAT & Ioana-Alexandra BRADEA & Camelia DELCEA,, 2016. "A Business Intelligence Instrument for Detection and Mitigation of Risks Related to Projects Financed from Structural Funds," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 165-178.
• Vasile GEORGESCU, 2016. "Using Nature-Inspired Metaheuristics to Train Predictive Machines," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 5-24.
• Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016. "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 79-92.
• Габриела Кръстева, 2016. "Оценяване И Прогнозиране На Пазарния Риск На Българските Публични Нефинансови Дружества," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 12(12 Year 2), pages 28-58.
• Стефан Симеонов, 2016. "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
• Alasdair Brown & Dooruj Rambaccussing & James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Economics Discussion Papers em-dp2016-01, Department of Economics, University of Reading.
  • Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Dundee Discussion Papers in Economics 293, Economic Studies, University of Dundee.
• Capkun, Vedran & Beneish , Messod Daniel, 2016. "Earnings Increases as a Type-Revealing Signal," HEC Research Papers Series 1132, HEC Paris.
• Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and Stock Market Anomalies," Working Papers hal-01993418, HAL.
  • Thesmar , David & Bouchaud, Jean-Philippe & Krueger , Philipp & Landier , Augustin, 2016. "Sticky Expectations and Stock Market Anomalies," HEC Research Papers Series 1136, HEC Paris.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic default and return predictability in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 149(3), pages 349-377.
  • Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016. "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2016-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023. "Systematic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2023-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Monira Essa Aloud, 2016. "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 87-95.
• Mansoor Maitah & Petr Prochazka & Michal Cermak & Karel r dl, 2016. "Commodity Channel Index: Evaluation of Trading Rule of Agricultural Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 176-178.
• Adil EL Fakir & Mohamed Tkiouat, 2016. "Single or Menu Contracting: A Game Theory Application of the Hersanyi Model to Mudaraba Financing," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 221-230.
• Umit Bulut, 2016. "Do Financial Conditions have a Predictive Power on Inflation in Turkey?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 621-628.
• Rashid Sbia & Rashid Sbia & Helmi Hamdi & Bedri Kamil Onur Tas & Sahel Al Rousan, 2016. "Gulf Cooperation Council Stock Returns and the Effect of Domestic Monetary Policy Shocks," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 629-639.
• Rangga Handika & Rangga Handika & Sigit Triandaru, 2016. "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 814-821.
• Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the term structure of crude oil futures prices with neural networks," Papers 1504.04819, arXiv.org.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES 2015/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
• Kinari, Yusuke, 2016. "Properties of expectation biases: Optimism and overconfidence," Journal of Behavioral and Experimental Finance, Elsevier, vol. 10(C), pages 32-49.
• Meub, Lukas & Proeger, Till, 2016. "Can anchoring explain biased forecasts? Experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, vol. 12(C), pages 1-13.
• Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
  • BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," LIDAM Discussion Papers CORE 2014012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  • Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
• Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
• Switzer, Lorne N. & Picard, Alan, 2016. "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, vol. 57(C), pages 106-119.
• Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  • Henri Nyberg & Harri Pönkä, 2015. "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers 2015-20, Department of Economics and Business Economics, Aarhus University.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016. "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 184-191.
  • Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015. "On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects," Working Papers 201508, University of Pretoria, Department of Economics.
• Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
  • Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
• Balaban, Ercan & Lu, Shan, 2016. "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, vol. 141(C), pages 116-118.
• Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng, 2016. "A nonparametric approach to test for predictability," Economics Letters, Elsevier, vol. 148(C), pages 10-16.
• Ghoddusi, Hamed & Fahim, Arash, 2016. "Volatility can be detrimental to option values!," Economics Letters, Elsevier, vol. 149(C), pages 5-9.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  • Hui Jun Zhang & Jean-Marie Dufour & John W. Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
  • Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
• Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
• Duyvesteyn, Johan & Martens, Martin & Verwijmeren, Patrick, 2016. "Political risk and expected government bond returns," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 498-512.
• Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
• Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016. "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, vol. 54(C), pages 68-76.
• Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, vol. 56(C), pages 453-463.
• Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
• Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
  • Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers 2015.101, Fondazione Eni Enrico Mattei.
  • Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Energy: Resources and Markets 230684, Fondazione Eni Enrico Mattei (FEEM).
• Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
• Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
• Fantazzini, Dean, 2016. "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, vol. 96(C), pages 383-396.
  • Fantazzini, Dean, 2016. "The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?," MPRA Paper 72094, University Library of Munich, Germany.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
• Lee, Bong-Soo & Ko, Kwangsoo, 2016. "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 47-53.
• Casalin, Fabrizio, 2016. "Size and power of tests based on Permanent-Transitory Component Models," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 142-153.
• Salhin, Ahmed & Sherif, Mohamed & Jones, Edward, 2016. "Managerial sentiment, consumer confidence and sector returns," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 24-38.
• Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
  • Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers wp511, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
• Byström, Hans, 2016. "Credit-implied forward volatility and volatility expectations," Finance Research Letters, Elsevier, vol. 16(C), pages 132-138.
  • Byström, Hans, 2015. "Credit-Implied Forward Volatility and Volatility Expectations," Working Papers 2015:34, Lund University, Department of Economics.
• Park, Heungju & Sohn, Bumjean, 2016. "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, vol. 16(C), pages 162-170.
• Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur, 2016. "A parsimonious quantile regression model to forecast day-ahead value-at-risk," Finance Research Letters, Elsevier, vol. 16(C), pages 196-207.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016. "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, vol. 16(C), pages 220-229.
• Song, Wonho & Ryu, Doojin & Webb, Robert I., 2016. "Overseas market shocks and VKOSPI dynamics: A Markov-switching approach," Finance Research Letters, Elsevier, vol. 16(C), pages 275-282.
• Chen, An-Sing & Yang, Wayne, 2016. "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 38-46.
• Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
• Smith, Geoffrey Peter, 2016. "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, vol. 17(C), pages 193-196.
• Pönkä, Harri, 2016. "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
  • Pönkä, Harri, 2015. "Real oil prices and the international sign predictability of stock returns," MPRA Paper 68330, University Library of Munich, Germany.
• Frömmel, Michael & Lampaert, Kevin, 2016. "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, vol. 18(C), pages 177-183.
• Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016. "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 255-262.
• Chiu, Yen-Chen & Chuang, I-Yuan, 2016. "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, vol. 18(C), pages 43-51.
• Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
• Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2016. "The credit quality channel: Modeling contagion in the interbank market," Journal of Financial Stability, Elsevier, vol. 25(C), pages 83-97.
  • Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2015. "The credit quality channel: Modeling contagion in the interbank market," Discussion Papers 38/2015, Deutsche Bundesbank.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, vol. 64(C), pages 25-34.
  • Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers - Cahiers du LEF 2015-07, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Jul 2015.
  • Antonello Lobianco & Arnaud A. Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers hal-01627581, HAL.
• Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  • David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
  • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
  • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
• Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F., 2016. "An order of asymmetry in copulas, and implications for risk management," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 241-247.
• Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
• Imen Dakhlaoui & Chaker Aloui, 2016. "The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets," International Economics, CEPII research center, issue 146, pages 141-157.
  • Dakhlaoui, Imen & Aloui, Chaker, 2016. "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, vol. 146(C), pages 141-157.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
• Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  • Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
• Li, Ningzhong & Vasvari, Florin P. & Wittenberg-Moerman, Regina, 2016. "Dynamic threshold values in earnings-based covenants," Journal of Accounting and Economics, Elsevier, vol. 61(2), pages 605-629.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Platikanova, Petya & Mattei, Marco Maria, 2016. "Firm geographic dispersion and financial analysts’ forecasts," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 71-89.
• Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
• De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
• Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
• Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2016. "Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 35-55.
  • Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014. "Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model," Staff Reports 663, Federal Reserve Bank of New York.
• Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
• Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
• Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
• Tsao, Shou-Min & Lu, Hsueh-Tien & Keung, Edmund C., 2016. "Voluntary monthly earnings disclosures and analyst behavior," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 37-49.
• Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar, 2016. "Risk and risk management in the credit card industry," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 218-239.
  • Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.
• Kapinos, Pavel & Gurley-Calvez, Tami & Kapinos, Kandice, 2016. "(Un)expected housing price changes: Identifying the drivers of small business finance," Journal of Economics and Business, Elsevier, vol. 84(C), pages 79-94.
• Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  • Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
• Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
• Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  • Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.
• Paparizos, Panagiotis & Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2016. "On high frequency dynamics between information asymmetry and volatility for securities," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 21-34.
• Aron, Janine & Muellbauer, John, 2016. "“Modelling and forecasting mortgage delinquency and foreclosure in the UK.”," Journal of Urban Economics, Elsevier, vol. 94(C), pages 32-53.
  • Muellbauer, John & Aron, Janine, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," CEPR Discussion Papers 11236, C.E.P.R. Discussion Papers.
  • Janine Aron & John Muellbauer, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," Economics Series Working Papers 793, University of Oxford, Department of Economics.
• Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016. "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 70-83.
• Godfrey, Keith R.L., 2016. "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 323-334.
• Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
• Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2016. "Inflation forecasts extracted from nominal and real yield curves," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 180-188.
• Jung, Young Cheol, 2016. "A portfolio insurance strategy for volatility index (VIX) futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 189-200.
• Miwa, Kotaro & Ueda, Kazuhiro, 2016. "Analysts’ preference for growth investing and vulnerability to market-wide sentiment," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 40-52.
• Labidi, Chiraz & Yaakoubi, Soumaya, 2016. "Investor sentiment and aggregate volatility pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 53-63.
• Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
• Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.
• Chen, An-Sing & Chang, Chong-Chuo & Cheng, Lee-Young & Tu, Hsing-Yu, 2016. "Do analysts cater to investor beliefs via target prices," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 232-252.
• Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
• Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  • Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
  • Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
• Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
• Koutmos, Dimitrios, 2016. "Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks," Research in International Business and Finance, Elsevier, vol. 37(C), pages 391-405.
• Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
• Lillo, Felipe & Valdés, Rodrigo, 2016. "Dynamics of financial markets and transaction costs: A graph-based study," Research in International Business and Finance, Elsevier, vol. 38(C), pages 455-465.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
  • Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
• Raúl De Jesús Gutiérrez., 2016. "Estrategias dinámicas de cobertura cruzada eficiente para el mercado del petróleo mexicano: Evidencia de dos modelos GARCH multivariados con término de corrección de error," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 44(1), pages 115-146, Enero-Jun.
• Krzysztof Drachal, 2016. "Is the Development of WIG Index Determined by Certain Macroeconomic and Financial Factors?," Expert Journal of Economics, Sprint Investify, vol. 4(1), pages 24-33.
• Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2016. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," FRB Atlanta Working Paper 2016-8, Federal Reserve Bank of Atlanta.
  • Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2018. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," NBER Working Papers 24180, National Bureau of Economic Research, Inc.
• Timothy S. Fuerst & Ron Mau, 2016. "Term Premium Variability and Monetary Policy," Working Papers (Old Series) 1611, Federal Reserve Bank of Cleveland.
• Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
  • Tobias Adrian & Daniel Stackman & Erik Vogt, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.
  • Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  • Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  • Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
• Francesco Calvori & Matteo Dentella & Giampiero M. Gallo, 2016. "Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears," Econometrics Working Papers Archive 2016_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Alexander E. Abramov & Alexander D. Radygin & Maria I. Chernova, 2016. "Equity vs. Bonds for Long-term Investors," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 26-44, June.
• Victor À. Gorelik & Tatiana V. Zolotova, 2016. "Formation of an Optimum Portfolio of Russian Companies with Probabilistic Risk Function," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 45-54, June.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, vol. 4(1), pages 1-19, March.
  • Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
• Leoni Eleni Oikonomikou, 2016. "Forecasting the Market Risk Premium with Artificial Neural Networks," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 202, Courant Research Centre PEG.
• Leoni Eleni Oikonomikou, 2016. "Comparing the market risk premia forecasts in JSE and NYSE equity markets," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 203, Courant Research Centre PEG.
• Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Ine!ciencies: Evidence from Twitter and Betfair," Working Papers 2016-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
• Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Post-Print halshs-01339815, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339815, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Post-Print halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2016.
• Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Post-Print halshs-01339826, HAL.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339815, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Post-Print halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2016.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Post-Print halshs-01339815, HAL.
• Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Post-Print halshs-01339826, HAL.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Thesmar , David & Bouchaud, Jean-Philippe & Krueger , Philipp & Landier , Augustin, 2016. "Sticky Expectations and Stock Market Anomalies," HEC Research Papers Series 1136, HEC Paris.
  • Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and Stock Market Anomalies," Working Papers hal-01993418, HAL.
• Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
• Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
• Alexander Porshnev & Valeria Lakshina & Ilya Redkin, 2016. "Could Emotional Markers in Twitter Posts Add Information to the Stock Market Armax-Garch Model," HSE Working papers WP BRP 54/FE/2016, National Research University Higher School of Economics.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo.
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity: An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
• Wolfgang Karl Härdle & Phoon Kok Fai & David Lee Kuo Chuen, 2016. "Credit Rating Score Analysis," SFB 649 Discussion Papers SFB649DP2016-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Lukas Borke & Wolfgang K. Härdle, 2016. "Q3-D3-Lsa," SFB 649 Discussion Papers SFB649DP2016-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  • Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2016. "Factorisable Multi-Task Quantile Regression," SFB 649 Discussion Papers SFB649DP2016-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
• Jeffry Haber, 2016. "Spliced Correlation: Theory Development," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 10(1), pages 65-69.
• Jedediah Baker, 2016. "Forecasting Volume And Price Impact Of Earnings Surprises Using Google Insights," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 53-62.
• Eduardo Sandoval & Macarena Soto, 2016. "Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 9(2), pages 1-17.
• Ozge KORKMAZ & Esref Savas BASCI & SuleymanSerdar KARACA, 2016. "Macroeconomic Variables Affecting Bist30 Index Value in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 3(1), pages 201-207, October.
• De la Torre, Oscar & Galeana, Evaristo & Aguilasocho, Dora, 2016. "The Use Of The Sustainable Investment Against The Broad Market One. A First Test In The Mexican Stock Market / El Uso De La Inversión Sustentable En Comparación De La Inversión Convencional. Una Prime," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 22(3), pages 117-123.
• Hiroshi Fujiki & Charles M. Kahn, 2016. "Choice of Collateral Asset and the Cross-Border Effect of Automatic Stays," IMES Discussion Paper Series 16-E-08, Institute for Monetary and Economic Studies, Bank of Japan.
• Yaniv Azoulay & Andrey Kudryavtsev & Shosh Shahrabani, 2016. "Accumulating approach to the life-cycle pension model: practical advantages," Financial Theory and Practice, Institute of Public Finance, vol. 40(4), pages 413-436.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
• Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
• Satish Sharma & Mikhail Shebalkov & Andrey Yukhanaev, 2016. "Evaluating banks performance using key financial indicators – a quantitative modeling of Russian banks," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(1), pages 425-453, January-M.
• Ikechukwu Kelikume, 2016. "New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(5), pages 185-197, Special I.
• Chi Ming Wong & Lei Lam Olivia Ting, 2016. "A Quantile Regression Approach to the Multiple Period Value at Risk Estimation," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 1-35, February.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
  • William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "The Credit-Card-Services Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201604, University of Kansas, Department of Economics, revised Aug 2016.
• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
  • William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201605, University of Kansas, Department of Economics, revised Aug 2016.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
  • Barnett, William & Su, Liting, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • William A. Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW).
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW Kiel).
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
• Kotaro Miwa & Kazuhiro Ueda, 2016. "Price distortion induced by a flawed stock market index," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 137-160, May.
• Pavel Kapinos & Oscar A. Mitnik, 2016. "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 229-264, June.
• Alexis Flageollet & Hamza Bahaji, 2016. "Monetary Policy and Risk-Based Asset Allocation," Open Economies Review, Springer, vol. 27(5), pages 851-870, November.
• Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 387-416, February.
• Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 387-416, February.
• R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016. "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 645-671, October.
• Havran, Dániel & Váradi, Kata, 2016. "A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete [The structure and dynamics of limit orders on the Budapest stock exchange: The cases of O," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 966-992.
• Issam BOUSALAM, 2016. "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," Turkish Economic Review, KSP Journals, vol. 3(1), pages 160-169, March.
• Jaydip SEN & Tamal DATTA CHAUDHURI, 2016. "An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors," Journal of Economics Library, KSP Journals, vol. 3(2), pages 303-326, June.
• Dr. Patrick Weber, 2016. "Excess liquidity creation of banks and nancial market peaks," Credit and Capital Markets, Credit and Capital Markets, vol. 49(1), pages 37-56.
• David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
• Maria Luisa Saavedra García & Gabriela Espíndola Armenta, 2016. "El uso de la planeación financiera en las PYME de TI de México," Revista Ciencias Administrativas (CADM), IIA, Universidad Nacional de La Plata, Instituto de Investigaciones Administrativas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, issue 8, pages 15-32, July-Dece.
• Mateo Velásquez Giraldo & Diego Restrepo Tobón, 2016. "Affine Term Structure Models: Forecasting the Yield Curve for Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 53-90, Julio - D.
• Nusrat Jahan & John J. Cheh & Il-woon Kim, 2016. "A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(1), pages 43-54, February.
• Davallou , Maryam & Sadrynia , Mostafa, 2016. "The Impact of Asymmetric Risk on Expected Return," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(1), pages 1-13, January.
• Frantisek Darena & Jonas Petrovsky & Jan Zizka & Jan Prichystal, 2016. "Analyzing the correlation between online texts and stock price movements at micro-level using machine learning," MENDELU Working Papers in Business and Economics 2016-67, Mendel University in Brno, Faculty of Business and Economics.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
  • Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
• Raymond Leh Bin Ling & Jeng Yuan Chia, 2016. "Portfolio Diversification Strategy in the Malaysian Stock Market," Capital Markets Review, Malaysian Finance Association, vol. 24(1), pages 38-67.
• Massimiliano Kaucic & Roberto Daris, 2016. "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(4 (Winter), pages 359-384.
• Gergely Patrik Balla & Tamás Ilyés, 2016. "Liquidity Needs And Liquidity Costs Of An Instant Payment System," MNB Occasional Papers 2016/124, Magyar Nemzeti Bank (Central Bank of Hungary).
• Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Zeineb Affes & Rania Hentati-Kaffel, 2016. "Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks," Documents de travail du Centre d'Economie de la Sorbonne 16026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339815, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Post-Print halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are Critical Slowing Down Indicators Useful to Detect Financial Crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01505202, HAL.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2016.
  • Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Post-Print halshs-01339815, HAL.
• Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Post-Print halshs-01339826, HAL.
  • Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.
• Julián Pareja Vasseur & Carolina Cadavid Pérez, 2016. "Pharmaceutical patents valuation through real options: Certainty equivalents and utility function," Contaduría y Administración, Accounting and Management, vol. 61(4), pages 794-814, Octubre-D.
• David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
  • Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
  • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
• Philip Brookins & Jennifer Brown & Dmitry Ryvkin, 2016. "Peer Information and Risk-taking under Competitive and Non-competitive Pay Schemes," NBER Working Papers 22486, National Bureau of Economic Research, Inc.
• Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
• Igor Živko & Mile BoÅ¡njak, 2016. "A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(2), pages 13-20, December.
• Ivan LUCHIAN & George BALAN, 2016. "Financial Mechanisms Of Financial Crises," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 3, pages 82-87.
• Daniel, Kent & Titman, Sheridan, 2016. "Another Look at Market Responses to Tangible and Intangible Information," Critical Finance Review, now publishers, vol. 5(1), pages 165-175, May.
• Mark Paddrik & Sriram Rajan & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.
  • H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
• Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020. "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
  • Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.
• Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  • Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  • Žikeš, Filip & Baruník, Jozef, 2014. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers 20, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Angelica CucÅŸa (Stratulat), 2016. "Risk Modeling Approaches in Terms of Volatility Banking Transactions," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 455-460, February.
• Aurora Murgea & Milena-Jana Schank, 2016. "Why do Goals Matter? Sport Events and Capital Market Returns," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 577-582, February.
• Aron, Janine & Muellbauer, John, 2016. "“Modelling and forecasting mortgage delinquency and foreclosure in the UK.”," Journal of Urban Economics, Elsevier, vol. 94(C), pages 32-53.
  • Muellbauer, John & Aron, Janine, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," CEPR Discussion Papers 11236, C.E.P.R. Discussion Papers.
  • Janine Aron & John Muellbauer, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," Economics Series Working Papers 793, University of Oxford, Department of Economics.
• Lai, Ping-fu (Brian) & Cho, Kwai-yee (Kevin), 2016. "Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market," Public Finance Quarterly, Corvinus University of Budapest, vol. 61(1), pages 110-123.
• BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman, 2016. "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," MPRA Paper 69636, University Library of Munich, Germany.
• Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
• Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 5-24.
  • Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper 71946, University Library of Munich, Germany, revised 2016.
• Fantazzini, Dean, 2016. "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, vol. 96(C), pages 383-396.
  • Fantazzini, Dean, 2016. "The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?," MPRA Paper 72094, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2016. "Forecast in Capital Markets," MPRA Paper 72286, University Library of Munich, Germany.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.
  • William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "The Credit-Card-Services Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201604, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201605, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
  • Barnett, William & Su, Liting, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
  • William A. Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
• Santos, André Alves Portela & Ferreira, Alexandre R., 2017. "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
  • R. Ferreira, Alexandre & A. P. Santos, Andre, 2016. "On the choice of covariance specifications for portfolio selection problems," MPRA Paper 73259, University Library of Munich, Germany.
• John M Maheu & Azam Shamsi Zamenjani, 2021. "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.
  • Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
• Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016. "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper 74477, University Library of Munich, Germany.
• Degiannakis, Stavros & Potamia, Artemis, 2017. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
  • Degiannakis, Stavros & Potamia, Artemis, 2016. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper 74670, University Library of Munich, Germany.
• Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
• Priviledge Cheteni, 2017. "Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets," Journal of Economics and Behavioral Studies, AMH International, vol. 8(6), pages 237-245.
  • Cheteni, Priviledge, 2016. "Stock market volatility using GARCH models: Evidence from South Africa and China stock markets," MPRA Paper 77355, University Library of Munich, Germany.
• Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
• Parker, Edgar, 2016. "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper 80039, University Library of Munich, Germany.
• Coskun, Yener & Seven, Unal, 2016. "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter) [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper 80263, University Library of Munich, Germany.
• Širůček, Martin & Galečka, Ondřej, 2016. "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper 80526, University Library of Munich, Germany.
• elias elhannani, farah & boussalem, abou bakr & Benbouziane, Mohamed, 2016. "Financial development and the oil curse: Evidence from Algeria," MPRA Paper 81866, University Library of Munich, Germany, revised May 2016.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  • Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
• Olkhov, Victor, 2016. "On Hidden Problems of Option Pricing," MPRA Paper 87173, University Library of Munich, Germany.
• Zaman, Gheorghe & Georgescu, George, 2016. "Stabilitatea financiară a României. Determinanți și proiecții pentru următoarele două decenii [Financial stability in Romania. Determinants and projections for the two next decades]," MPRA Paper 96078, University Library of Munich, Germany.
• Jiří Šindelář, 2016. "Quantitative Forecast of Demand for Life Insurance in CR in 2015-2018: Macroeconomic Growth versus Industry Restructuring [Kvantitativní prognóza poptávky po životním pojištění v ČR v letech 2015-2," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2016(1), pages 5-23.
• Petr Makovský, 2016. "The relationship between the real economy and financial sector regarding technological bubbles," Ekonomika a Management, Prague University of Economics and Business, vol. 2016(3).
• Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016. "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(8), pages 905-921.
• Leslie G. Manison & Savvakis C. Savvides, 2016. "Towards Sustainable Growth: Rebuilding the Foundations of the Cyprus Economy," Development Discussion Papers 2016-07, JDI Executive Programs.
• Savvakis C. Savvides, 2016. "Overcoming Private Debt: Unblocking and rebuilding the loan burdened real economy in Cyprus," Development Discussion Papers 2016-08, JDI Executive Programs.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
• Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Dundee Discussion Papers in Economics 293, Economic Studies, University of Dundee.
  • Alasdair Brown & Dooruj Rambaccussing & James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Economics Discussion Papers em-dp2016-01, Department of Economics, University of Reading.
• David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
  • Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
  • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  • Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper series 16-25, Rimini Centre for Economic Analysis.
• Dean Fantazzini & Erik Nigmatullin & Vera Sukhanovskaya & Sergey Ivliev, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 5-24.
  • Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper 71946, University Library of Munich, Germany, revised 2016.
• Riza Emekter & Benjamas Jirasakuldech, 2016. "A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 1-19.
• İsmail Tuna & Süleyman Serdar Karaca, 2016. "Determining the Firm Specific Factors Affecting the Capital Increase," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 89-105.
• William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary," Studies in Applied Economics 59, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
  • William Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • William A. Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
• Mateo Velásquez & Juan Gutiérrez & Paula Almonacid, 2016. "Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 21(41), pages 73-80.
• Hongfeng Peng & Xiaoyu Tan & Yi Chen, 2016. "Discretion of Dynamic Position Adjustment in Hedging Strategy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 86-101, June.
• Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016. "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 146-169, December.
• Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
• Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
• Rosales Contreras, Jorge, 2016. "Intervalos de confianza para VaR y ES, y su aplicación al mercado colombiano," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(1), pages 55-82, enero-jun.
• Pareja Vasseur, Julián & Mejia Aguirre, Mauricio & Gallego Gómez, Marcos, 2016. "Evaluación mediante opciones reales de proyectos de inversión en el sector de distribución de combustibles. / Investment projects evaluation through real option on the fuel distribution sector," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(2), pages 219-246, julio-dic.
• Pareja Vasseur, Julián & Mejia Aguirre, Mauricio & Gallego Gómez, Marcos, 2016. "Evaluación mediante opciones reales de proyectos de inversión en el sector de distribución de combustibles. / Investment projects evaluation through real option on the fuel distribution sector," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(2), pages 219-246, julio-dic.
• Toni Vide, 2016. "Does It Pay To Be Good? An Analysis Of Vice And Virtue Stock Performance In The Eurozone," Faculty of Management Working Paper Series 12016, University of Warsaw, Faculty of Management.
• Toni Vide, 2016. "Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(6), pages 113-125, June.
• Rafa³ Cieslik, 2016. "Effect of Earnings Quality on the Returns-Earnings Relationship: Evidence from the Warsaw Stock Exchange (Wplyw jakosci zysku na zaleznosc pomiedzy zyskiem a stopa zwrotu z akcji na przykladzie GPW w ," Research Reports, University of Warsaw, Faculty of Management, vol. 2(22), pages 60-77.
• Boyan Lomev & Nikolay Netov, 2016. "Bulgarian stock market and market risk forecasting under long memory in returns," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 13(1), pages 185-200, September.
• Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016. "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
• Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno, 2016. "Risk premia estimation in Brazil: wait until 2041," Working Papers, Department of Economics 2016_38, University of São Paulo (FEA-USP).
• Tetsuya Takaishi, 2016. "Dynamical cross-correlation of multiple time series Ising model," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 455-468, December.
• Yoshifumi Tahira & Takayuki Mizuno, 2016. "Trading strategy of a stock index based on the frequency of news releases for listed companies," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 437-444, December.
• Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
• Sagi Akron, 2016. "Business cycles and the expectations of short-term central bank rates in light of Construal Level Theory," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 171-187, August.
• Lukito Adi Nugroho, 2016. "Franchise ownership redirection: real options perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-11, December.
• Roy L. Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter A. Beling & William T. Scherer, 2016. "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 41-59, January.
• Roy Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter Beling & William Scherer, 2016. "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 41-59, January.
• Yuri Biondi & Simone Righi, 2016. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 175-203, October.
  • Yuri Biondi & Simone Righi, 2013. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers 1312.7460, arXiv.org.
• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016. "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, vol. 21(2), pages 596-632, June.
• Alexander Hölzl & Sebastian Lobe, 2016. "Predicting above-median and below-median growth rates," Review of Managerial Science, Springer, vol. 10(1), pages 105-133, January.
• Alexander Hölzl & Sebastian Lobe, 2016. "Predicting above-median and below-median growth rates," Review of Managerial Science, Springer, vol. 10(1), pages 105-133, January.
• Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
• Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele, 2016. "A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors," Working Papers 19, European Stability Mechanism.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016. "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4655-4665, October.
  • Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2015. "Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test," Working Papers 201576, University of Pretoria, Department of Economics.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
  • Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
• Stavros Degiannakis & Alexandra Livada, 2016. "Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 871-892, April.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper 67968, University Library of Munich, Germany.
• Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers 16-099/III, Tinbergen Institute.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016. "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(1), pages 54-68.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291, June.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
• Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
  • Marcin Chlebus, 2016. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers 2016-06, Faculty of Economic Sciences, University of Warsaw.
• Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
  • Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
  • Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015. "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers 2015-02, Department of Economics and Business Economics, Aarhus University.
• Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
  • Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
• Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26.
  • Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
• Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  • Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Boda, Daniel & Luptak, Martin & Pitlik, Laszlo & Szucs, Gabor & Takacs, Istvan, 2016. "Prediction of Insolvency of Hungarian Micro Enterprises," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2016), Rovinj, Croatia, in: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 8-9 September 2016, pages 352-359, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb.
• Böing, Tobias & Stadtmann, Georg, 2016. "Money growth and aggregate stock returns," Discussion Papers 390, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Berdin, Elia, 2016. "Interest rate risk, longevity risk and the solvency of life insurers," ICIR Working Paper Series 23/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Härdle, Wolfgang Karl & Fai, Phoon-kok & Lee, David Kuo Chuen, 2016. "Credit rating score analysis," SFB 649 Discussion Papers 2016-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019. "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, vol. 19(10), pages 1705-1726, October.
  • Xu, Xiu & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2016. "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers 2016-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.

2015

• Nicky J. Ferguson & Dennis Philip & Herbert Y. T. Lam & Jie Michael Guo, 2015. "Media Content and Stock Returns: The Predictive Power of Press," Multinational Finance Journal, Multinational Finance Journal, vol. 19(1), pages 1-31, March.
• Yuri Biondi & Simone Righi, 2015. "Much ado about making money:The impact of disclosure, news and rumors over the formation of security market prices over time," Department of Economics 0075, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print hal-01159741, HAL.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print hal-01159741, HAL.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries," Documents de travail du Centre d'Economie de la Sorbonne 15040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Post-Print halshs-01254729, HAL.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01254729, HAL.
• Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
• Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
  • Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
• Tomasz Skoczylas, 2015. "Log-volatility enhanced GARCH models for single asset returns," Bank i Kredyt, Narodowy Bank Polski, vol. 46(5), pages 411-432.
• Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar, 2016. "Risk and risk management in the credit card industry," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 218-239.
  • Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.
• David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
  • Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
  • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
• Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
• Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015. "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, vol. 1(3), pages 273-293.
  • A. Abramov & A. Radygin & M. Chernova., 2015. "Long-Term Portfolio Investment: New Insight into Return and Risk," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
• Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015. "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, vol. 1(3), pages 273-293.
  • A. Abramov & A. Radygin & M. Chernova, 2015. "Long-term Portfolio investment: New insight into Return and Risk," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
• Sornette, Didier & Cauwels, Peter, 2015. "Financial Bubbles: Mechanisms and Diagnostics," Review of Behavioral Economics, now publishers, vol. 2(3), pages 279-305, October.
• Droj Laurentiu, 2015. "Study Regarding The Profitability Indicators For The Romanian Companies Operating In The Tourism And Leisure Services Sector In The Period Of 2010-2013," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 817-824, July.
• Abrudan Leonard Calin, 2015. "Analysis Of Romanian Economic Stability In Terms Of Evolution Of The Budgetary Deficit And Other Macroeconomic Indicators, In The Period 2013-2017 (Forecast)," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 13-19, December.
• Jiahan Li & Ilias Tsiakas & Wei Wang, 2015. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 293-341.
  • Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series 05_14, Rimini Centre for Economic Analysis.
• Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 798-838.
  • Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Post-Print hal-02313212, HAL.
• Filip Žikeš & Jozef Baruník, 2015. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 185-226.
  • Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  • Žikeš, Filip & Baruník, Jozef, 2014. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers 20, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 791-837.
  • Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers 676, China Economics and Management Academy, Central University of Finance and Economics.
• Aurora Murgea, 2015. "January Effect and Market Conditions: a Case of Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 488-493, May.
• Aurora Murgea, 2015. "Holliday Effect in Contemporary Capital Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 494-499, May.
• Elia Berdin & Helmut Gründl, 2015. "The Effects of a Low Interest Rate Environment on Life Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 40(3), pages 385-415, July.
  • Berdin, Elia & Gründl, Helmut, 2014. "The effects of a low interest rate environment on life insurers," ICIR Working Paper Series 15/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  • Berdin, Elia & Gründl, Helmut, 2015. "The effects of a low interest rate environment on life insurers," SAFE Working Paper Series 65, Leibniz Institute for Financial Research SAFE, revised 2015.
• Paul Bedón Garcia & Gabriel Rodriguez, 2015. "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers 2015-400, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
• Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2015. "Forecasting the yield curve: art or science?," MPRA Paper 61917, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
• Hu, Zongyi & Li, Chao, 2015. "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper 62108, University Library of Munich, Germany.
• Jones, Clive, 2015. "Predictability of the daily high and low of the S&P 500 index," MPRA Paper 62664, University Library of Munich, Germany.
• Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
• Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
• Liu, Chengwei & Chan, Yixiang & Alam Kazmi, Syed Hasnain & Fu, Hao, 2015. "Financial Fraud Detection Model Based on Random Forest," MPRA Paper 65404, University Library of Munich, Germany.
• Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural, 2015. "Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması [Extracting risk-neutral probability distribution from Brent oil options]," MPRA Paper 65704, University Library of Munich, Germany.
• Dhaoui, Abderrazak & Audi, Mohamed & Ouled Ahmed Ben Ali, Raja, 2015. "Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches," MPRA Paper 66029, University Library of Munich, Germany.
• Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.
• Mamipour, Siab & Vaezi Jezeie, Fereshteh, 2015. "Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach," MPRA Paper 66202, University Library of Munich, Germany.
• Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
• Tomić, Bojan & Sesar, Andrijana, 2015. "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper 66816, University Library of Munich, Germany.
• Situngkir, Hokky, 2015. "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper 67247, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
• Pönkä, Harri, 2016. "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
  • Pönkä, Harri, 2015. "Real oil prices and the international sign predictability of stock returns," MPRA Paper 68330, University Library of Munich, Germany.
• Meriem Rjiba & Michail Tsagris & Hedi Mhalla, 2015. "Bootstrap for Value at Risk Prediction," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(6), pages 362-371.
  • Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi, 2015. "Bootstrap for Value at Risk Prediction," MPRA Paper 68842, University Library of Munich, Germany.
• LaGarda, Guillermo & Manzano, Osmel & Prat, Jordi, 2015. "The Legacy of the Crisis: Policy Options in a Favorable Environment," MPRA Paper 72151, University Library of Munich, Germany.
• Pavlović, Radica & Bukvić, Rajko & Gajić, Aleksandar, 2015. "Internal Sources of Financing Companies on the Basis of Static and Dynamic Indicators: Comparative Analysis," MPRA Paper 72216, University Library of Munich, Germany, revised 2015.
• Khan, Dr. Muhammad Irfan & Syed, Muhammad Salman, 2015. "Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange," MPRA Paper 72647, University Library of Munich, Germany, revised Jul 2015.
• Matkovskyy, Roman & Bouraoui, Taoufik & Hammami, Helmi, 2015. "Estimation and prediction of an Index of Financial Safety of Tunisia," MPRA Paper 74573, University Library of Munich, Germany, revised 2016.
• Daniel Felix Ahelegbey, . "The econometrics of Bayesian graphical models: a review with financial application," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
  • Ahelegbey, Daniel Felix, 2015. "The Econometrics of Bayesian Graphical Models: A Review With Financial Application," MPRA Paper 92634, University Library of Munich, Germany, revised 25 Apr 2016.
• Asandului, Mircea & Lupu, Dan & Mursa, Gabriel Claudiu & Muşetescu, Radu, 2015. "Dynamic relations between CDS and stock markets in Eastern European countries," MPRA Paper 95506, University Library of Munich, Germany.
• Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
  • Stelios Bekiros & Rangan Gupta, 2015. "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers 201505, University of Pretoria, Department of Economics.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016. "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 184-191.
  • Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015. "On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects," Working Papers 201508, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015. "South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201570, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015. "Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test," Working Papers 201575, University of Pretoria, Department of Economics.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016. "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4655-4665, October.
  • Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2015. "Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test," Working Papers 201576, University of Pretoria, Department of Economics.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers 201582, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei, 2015. "The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quant," Working Papers 201586, University of Pretoria, Department of Economics.
• Gupta, Rangan & Wohar, Mark, 2017. "Forecasting oil and stock returns with a Qual VAR using over 150years off data," Energy Economics, Elsevier, vol. 62(C), pages 181-186.
  • Rangan Gupta & Mark E. Wohar, 2015. "Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data," Working Papers 201589, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba, 2015. "Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model," Working Papers 201596, University of Pretoria, Department of Economics.
• Igor Paholok, 2015. "Credit Value Adjustment and Economic Motivation to Trade on PXE," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(3), pages 245-259.
• Dana Cíchová Králová, 2015. "Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi [Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, Prague University of Economics and Business, vol. 2015(6), pages 714-740.
• Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 43-70, March.
• Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
• Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
  • Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
• Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  • Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  • Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
• Alexandra Heath & Gerard Kelly & Mark Manning, 2015. "Central Counterparty Loss Allocation and Transmission of Financial Stress," RBA Research Discussion Papers rdp2015-02, Reserve Bank of Australia.
• Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
  • Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
• Mihai Cristian Dinică & Erica Cristina (Balea) Dinică, 2015. "Testing the Weak-Form Market Eficiency of the Euronext Wheat," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(55), pages 25-38, March.
• Eleftherios I. Thalassinos & Erginbay Ugurlu & Yusuf Muratoglu, 2015. "Comparison of Forecasting Volatility in the Czech Republic Stock Market," Applied Economics and Finance, Redfame publishing, vol. 2(1), pages 11-18, February.
• Petr Parshakov, 2015. "Estimation of skill of Russian mutual fund managers," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 57-66.
• Myagmarsuren Boldbaatar & Choong Lyol Lee, 2015. "Financial Accessibility and Economic Growth," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 19(2), pages 143-166.
• Thorvald Grung Moe, 2015. "Shadow banking: policy challenges for central banks," Journal of Financial Perspectives, EY Global FS Institute, vol. 3(2), pages 31-42.
  • Thorvald Grung-Moe, 2014. "Shadow Banking: Policy Challenges for Central Banks," Economics Working Paper Archive wp_802, Levy Economics Institute.
• √Ångel Le√≥n & Manuel Moreno, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
• IONESCU Luminiţa & BUHUR Sami, 2015. "The Fiscal And Financial Control Reform In Romania And Turkey: A Comparative Study," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 6(2), pages 27-34.
• Sinisa Bogdan & Suzana Baresa & Zoran Ivanovic, 2015. "ESTIMATING RISK ON THE CAPITAL MARKET WITH VaR METHOD," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(1), pages 165-175.
• Ralf Peter Wüstermann, 2015. "A risk-adequate valuation of Brazilian companies using the example of Arezzo Indústria e Comércio S.A," Zeitschrift für interdisziplinäre ökonomische Forschung, Allensbach Hochschule, issue 2, pages 30-39.
• Mine AKSOY & Veysel ULUSOY, 2015. "Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 107-128, March.
• Gheorghe HURDUZEU & Radu Cristian MUSETESCU & Georgeta Madalina MEGHISAN, 2015. "Financial Market Reaction To Changes In The Volatilities Of Cds Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 152-165, September.
• Ana-Maria CALOMFIR (METESCU), 2015. "A Different Statistic for the Management of Portfolios - the Hurst Exponent: Persistent, Antipersistent or Random Time Series?," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 18(2), pages 285-292, December.
• Dana Sisea & Emilia Stoica & Sandra Teodorescu, 2015. "Evolution of the Main Banking Sector Risks in Romania in the Last Decade," Romanian Statistical Review, Romanian Statistical Review, vol. 63(1), pages 23-46, March.
• Meriem Rjiba & Michail Tsagris & Hedi Mhalla, 2015. "Bootstrap for Value at Risk Prediction," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(6), pages 362-371.
  • Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi, 2015. "Bootstrap for Value at Risk Prediction," MPRA Paper 68842, University Library of Munich, Germany.
• Zhanglong Wang & Kent Wang & Zheyao Pan, 2015. "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 295-317, May.
• Vipul Kumar Singh, 2015. "Conjoint Analysis of Option and Volatility Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 258-289, December.
• Казакова К.А. & Князев А.Г. & Лепёхин О.А., 2015. "Оптимальный размер банковского резерва: прогноз просроченной кредитной задолженности с использованием копулярных моделей. Optimum volume of bank reserve: forecasting of overdue credit indebtedness usi," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 15(4), pages 59-76.
• Amaia Jone BETZUEN ÁLVAREZ & Amancio BETZUEN ZALBIDEGOITIA, 2015. "La modelización de los cambios en la longevidad de la población del País Vasco y su estimación futura," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 24(2), pages 45-54.
• Simona Adascalitei, 2015. "The importance of High Frequency Data on the Financial Markets," Proceedings of International Academic Conferences 2503637, International Institute of Social and Economic Sciences.
• Hernández Ángeles, Ignacio F. & Francisco-López Herrera & Luis Fernando Hoyos Reyes, 2015. "Análisis del efecto apalancamiento en los rendimientos del IPC mediante una Cadena de Markov Monte Carlo antes, durante y después de la crisis subprime./ Analysis of the leverage effect on the IPC ret," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(1), pages 43-64, enero-jun.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Bucio Pacheco, Christian, 2015. "Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(1), pages 65-94, enero-jun.
• Krzysztof Drachal, 2015. "Review Of Garch Model Applicability In View Of Some Recent Research," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 7(2 (July)), pages 191-200.
• Abderrazak Dhaoui & Mohammed Aydi & Raja Ouled Ahmed Ben Ali, 2015. "Revisiting Empirical Linkages Between Direction Of Canadian Stock Price Index Movement And Oil Supply And Demand Stocks: Artificial Neural Networks And Support Vector Machines Approaches," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 7(3 (Decemb), pages 319-344.
• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(1), May.
  • Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics 2015_08, University of São Paulo (FEA-USP).
• Alexandros M. Goulielmos, 2015. "The Multi-faceted Character of Risk in Maritime Freight Markets (Panamax) 1996-2012," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(1-2), pages 67-86, January-M.
• Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2015. "Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns," Computational Statistics, Springer, vol. 30(3), pages 821-843, September.
• Lilia Karnizova & Hashmat Khan, 2015. "The stock market and the consumer confidence channel: evidence from Canada," Empirical Economics, Springer, vol. 49(2), pages 551-573, September.
• Naresh Bansal & Jack Strauss & Alireza Nasseh, 2015. "Can we consistently forecast a firm’s earnings? Using combination forecast methods to predict the EPS of Dow firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 1-22, January.
• Yuri Biondi & Pierpaolo Giannoccolo, 2015. "Share price formation, market exuberance and financial stability under alternative accounting regimes," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 333-362, October.
• Jairo Fúquene & Marta Álvarez & Luis Raúl Pericchi, 2015. "A robust Bayesian dynamic linear model for Latin-American economic time series: “the Mexico and Puerto Rico cases”," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-17, December.
• Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
• Nico Katzke & Chris Garbers, 2015. "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers 06/2015, Stellenbosch University, Department of Economics.
• Keshab Bhattarai, 2015. "Financial deepening and economic growth," Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1133-1150, March.
  • Bhattarai, Keshab, 2013. "Financial Deepening and Economic Growth," MPRA Paper 48696, University Library of Munich, Germany.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2015. "Socially responsible and conventional investment funds: performance comparison and the global financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2541-2562, May.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," Working Paper series 04_14, Rimini Centre for Economic Analysis.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," CEIS Research Paper 310, Tor Vergata University, CEIS, revised 18 Feb 2014.
• Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  • Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  • Charles Engel & Nelson C. Mark & Kenneth D. West, 2012. "Factor Model Forecasts of Exchange Rates," NBER Working Papers 18382, National Bureau of Economic Research, Inc.
• Evangelos C. Charalambakis, 2015. "On the Prediction of Corporate Financial Distress in the Light of the Financial Crisis: Empirical Evidence from Greek Listed Firms," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 22(3), pages 407-428, November.
  • Evangelos C. Charalambakis, 2013. "On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms," Working Papers 164, Bank of Greece.
• Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2015. "Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 393-402, July.
  • Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014. "Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints," Working Papers 201405, University of California at Riverside, Department of Economics.
• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
• Bert de Bruijn & Philip Hans Franses, 2015. "How Informative are the Unpredictable Components of Earnings Forecasts?," Tinbergen Institute Discussion Papers 15-032/III, Tinbergen Institute.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
• Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  • Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
• Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
  • Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers 15-140/III, Tinbergen Institute, revised 19 Apr 2017.
• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
  • Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013. "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers 2013-31, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
• Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  • Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
• Buncic, Daniel & Tischhauser, Martin, 2017. "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
  • Buncic, Daniel & Tischhauser, Martin, 2015. "Macroeconomic Factors and Equity Premium Predictability," Economics Working Paper Series 1522, University of St. Gallen, School of Economics and Political Science.
• Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2015. "Market Sentiment and Paradigm Shifts," Research Paper Series 356, Quantitative Finance Research Centre, University of Technology, Sydney.
• Federico Maglione, 2015. "Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR," Working Papers 2015:05, Department of Economics, University of Venice "Ca' Foscari".
• Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
• Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
  • Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
• CĂLIN, Adrian Cantemir, 2015. "Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 53-66.
• POPOVICI, Oana Cristina, 2015. "A Volatility Analysis Of The Euro Currency And The Bond Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 67-79.
• Dittmann Iwona, 2015. "Scenario Analysis In The Calculation Of Investment Efficiency–The Problem Of Formulating Assumptions," Real Estate Management and Valuation, Sciendo, vol. 23(3), pages 54-64, September.
• Tomasz Skoczylas, 2015. "Bivariate GARCH models for single asset returns," Working Papers 2015-03, Faculty of Economic Sciences, University of Warsaw.
• Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  • Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013. "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers 2013-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015. "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
  • Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers 2012-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
  • Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
• Philipp Hartmann, 2015. "Real Estate Markets and Macroprudential Policy in Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 69-80, March.
  • Hartmann, Philipp, 2015. "Real estate markets and macroprudential policy in Europe," Working Paper Series 1796, European Central Bank.
• Dominik Vuletić, 2015. "Next Global Crisis: Greatest Recession in the History of Capitalism is at the Doorstep," EFZG Working Papers Series 1509, Faculty of Economics and Business, University of Zagreb.
• Mario Situm, 2015. "The Relevance of Trend Variables for the Prediction of Corporate Crises and Insolvencies," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 18(1), pages 17-49, May.
• Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2016. "The credit quality channel: Modeling contagion in the interbank market," Journal of Financial Stability, Elsevier, vol. 25(C), pages 83-97.
  • Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2015. "The credit quality channel: Modeling contagion in the interbank market," Discussion Papers 38/2015, Deutsche Bundesbank.
• Hoffmann, Steffen, 2015. "Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 660, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
• Hoffmann, Steffen, 2015. "Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 661, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
• Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Kraicová Lucie & Baruník Jozef, 2017. "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
  • Jozef Baruník & Lucie Kraicová, 2014. "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES 2014/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
  • Kraicova, Lucie & Barunik, Jozef, 2015. "Estimation of long memory in volatility using wavelets," FinMaP-Working Papers 33, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  • Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  • Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Richard Deaves & Jin Lei & Michael Schröder, 2019. "Forecaster Overconfidence and Market Survey Performance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(2), pages 173-194, April.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Leibniz Centre for European Economic Research.
  • Deaves, Richard & Lei, Jin & Schroeder, Michael, 2015. "Forecaster overconfidence and market survey performance," FinMaP-Working Papers 40, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," Frankfurt School - Working Paper Series 218, Frankfurt School of Finance and Management.
• Richard Deaves & Jin Lei & Michael Schröder, 2019. "Forecaster Overconfidence and Market Survey Performance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(2), pages 173-194, April.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Leibniz Centre for European Economic Research.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," Frankfurt School - Working Paper Series 218, Frankfurt School of Finance and Management.
  • Deaves, Richard & Lei, Jin & Schroeder, Michael, 2015. "Forecaster overconfidence and market survey performance," FinMaP-Working Papers 40, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Schmallowsky, Katrin, 2015. "Unternehmensbewertung mit Monte-Carlo-Simulationen," Wismar Discussion Papers 02/2015, Hochschule Wismar, Wismar Business School.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
• Zhang, Junni L. & Härdle, Wolfgang Karl & Chen, Cathy Y. & Bommes, Elisabeth, 2015. "Distillation of news flow into analysis of stock reactions," SFB 649 Discussion Papers 2015-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2015. "Factorisable sparse tail event curves," SFB 649 Discussion Papers 2015-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2017. "Copula-based factor model for credit risk analysis," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 949-971, November.
  • Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015. "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers 2015-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  • Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015. "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers 2015-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112919, Verein für Socialpolitik / German Economic Association.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
• Richard Deaves & Jin Lei & Michael Schröder, 2019. "Forecaster Overconfidence and Market Survey Performance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(2), pages 173-194, April.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," Frankfurt School - Working Paper Series 218, Frankfurt School of Finance and Management.
  • Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Leibniz Centre for European Economic Research.
  • Deaves, Richard & Lei, Jin & Schroeder, Michael, 2015. "Forecaster overconfidence and market survey performance," FinMaP-Working Papers 40, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Deni Memic, 2015. "Assessing Credit Default using Logistic Regression and Multiple Discriminant Analysis: Empirical Evidence from Bosnia and Herzegovina," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 13(1), pages 128-153.
• Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
• Mária Bohdalová & Michal Greguš, 2015. "Estimating Value-At-Risk Based On Non-Normal Distributions," CBU International Conference Proceedings, ISE Research Institute, vol. 3(0), pages 188-195, September.
• Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
  • Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
  • Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015. "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers 2015-02, Department of Economics and Business Economics, Aarhus University.
• Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
• Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  • Henri Nyberg & Harri Pönkä, 2015. "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers 2015-20, Department of Economics and Business Economics, Aarhus University.
• Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  • Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
  • Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
• Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
  • Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
• Hyeongwoo Kim & Wen Shi, 2015. "Forecasting Financial Market Vulnerability in the U.S.: A Factor Model Approach," Auburn Economics Working Paper Series auwp2015-04, Department of Economics, Auburn University.
• Vuković, Bojana & Mijić, Kristina & Spahić, Nataša, 2015. "Concentration Of Tobacco Market: Evidence From Serbia," Economics of Agriculture, Institute of Agricultural Economics, vol. 62(2), pages 1-14, June.
• Emilia VASILE & Iulia DAVID-SOBOLEVSCHI & Monica Aureliana PETCU & Ovidiu BUNGET, 2015. "Matrix Approach For Estimating The Effectiveness Of Ecological Behavior," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 8(8), pages 96-107, December.
• Edina Berlinger & György Walter, 2015. "Income Contingent Repayment Scheme for Non-Performing Mortgage Loans in Hungary," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 65(supplemen), pages 123-147, December.
• Gábor Kutasi, 2015. "Banking contagion under different exchange rate regimes in CEE," Society and Economy, Akadémiai Kiadó, Hungary, vol. 37(1), pages 109-127, March.
• Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI, 2015. "Adaptive Expectations with Correction Bias: Evidence from the lab," Working Papers 409, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES 2015/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the term structure of crude oil futures prices with neural networks," Papers 1504.04819, arXiv.org.
• Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  • Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
• Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 13015, Banco de la Republica.
  • Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 890, Banco de la Republica de Colombia.
• Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  • Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
• Koresh Galil & Neta Gilat, 2019. "Predicting Default More Accurately: To Proxy or Not to Proxy for Default?," International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 731-758, December.
  • Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  • Koresh Galil & Neta Gilat, 2018. "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers 1801, Ben-Gurion University of the Negev, Department of Economics.
• Tao Chen & Erin Pik Ki So & Liang Wu & Isabel Kit Ming Yan, 2015. "The 2007–2008 U.S. Recession: What Did The Real-Time Google Trends Data Tell The United States?," Contemporary Economic Policy, Western Economic Association International, vol. 33(2), pages 395-403, April.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
• MOROSAN Adrian, 2015. "Some Points Of View Regarding The Definitions Of The Concepts Of Explanation, Understanding And Causality In The Social Sciences," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(1), pages 130-136, February.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2015. "Study Regarding The Markowitz Model Of Portfolio Selection," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(Supplemen), pages 195-206, September.
• Michael Chin & Christopher Polk, 2015. "A forecast evaluation of expected equity return measures," Bank of England working papers 520, Bank of England.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  • Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
  • Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
• Reis Pedro Nogueira & Augusto Mário Gomes, 2015. "What Is a Firm’s Life Expectancy? Empirical Evidence in the Context of Portuguese Companies," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 10(1), pages 45-75, January.
• Grossmass Lidan & Poon Ser-Huang, 2015. "Estimating dynamic copula dependence using intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 501-529, September.
• Fernanda Maria Muller & Fábio Mariano Bayer, 2015. "Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(1), pages 40-73.
• Paulo Rogério Faustino Matos & Wandermon Silva & Felipe Silva, 2015. "Do Brazilian mutual stock fund managers have sufficient skill?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(2), pages 325-366.
• Melquiades Pereira Lima & Vinicio de Souza Almeida, 2015. "Sell-side analysts make good predictions in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(3), pages 365-393.
• Paulo Ferreira Naibert & João Caldeira, 2015. "Selection of optimal portfolios under norm constraints in the allocation vectors: an empirical evaluation with data from BM&FBovespa," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(3), pages 504-543.
• Guilherme Demos & Thomas Pires & Guilherme Valle Moura, 2015. "Portfolio Optimisation and Endogenous Rebalancing Methods," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 544-570.
• Silvester Van Koten, 2015. "Forward Premia in Electricity Markets: Two Caveats," CERGE-EI Working Papers wp543, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  • Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
• Marc S. PAOLELLA & Pawel POLAK, 2015. "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series 15-17, Swiss Finance Institute.
• Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE, 2015. "The Acceleration Effect and Gamma Factor in Asset Pricing," Swiss Finance Institute Research Paper Series 15-30, Swiss Finance Institute.
• Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG, 2015. "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series 15-32, Swiss Finance Institute.
  • Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang, 2015. "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series 15-31, Swiss Finance Institute.
• Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang, 2015. "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series 15-31, Swiss Finance Institute.
  • Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG, 2015. "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series 15-32, Swiss Finance Institute.
• Qun ZHANG & Qunzhi ZHANG & Didier SORNETTE, 2015. "Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities," Swiss Finance Institute Research Paper Series 15-43, Swiss Finance Institute.
• Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
  • Eric JONDEAU & Qunzi ZHANG, 2015. "Average Skewness Matters!," Swiss Finance Institute Research Paper Series 15-47, Swiss Finance Institute.
• Marco LISSANDRIN & Donnacha DALY & Didier SORNETTE, 2015. "Statistical Testing of DeMark Technical Indicators on Commodity Futures," Swiss Finance Institute Research Paper Series 15-56, Swiss Finance Institute.
• G. Demos & D. Sornette, 2017. "Birth or burst of financial bubbles: which one is easier to diagnose?," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 657-675, May.
  • Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE, 2015. "Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?," Swiss Finance Institute Research Paper Series 15-57, Swiss Finance Institute.
• Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
  • Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
  • Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
• Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1515, CIRPEE.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," CIRANO Working Papers 2015s-23, CIRANO.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1506, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015. "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
• Diana MURESAN, 2015. "The Mishkin Test: An Analysis Of Model Extensions," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 393-400, April.
• Gustavo Peralta, 2015. "Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock," CNMV Working Papers CNMV Working Papers no 59, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 890, Banco de la Republica de Colombia.
  • Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 13015, Banco de la Republica.
• Gabriel Moreno, 2015. "Leverage, Risk and Regulatory Capital in Latin American Banks," Coyuntura Económica, Fedesarrollo, vol. 45(1), pages 91-130.
• Peter B. Dixon & James. A. Giesecke & Maureen T. Rimmer, 2015. "Superannuation within a financial CGE model of the Australian economy," Centre of Policy Studies/IMPACT Centre Working Papers g-253, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Agnieszka Kapecka, 2015. "Comparative analysis of mature and emerging markets\' stock market indices using Hurst exponents," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 46(1), pages 59-75.
• Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
• Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
  • Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015. "Origins of Stock Market Fluctuations," CEPR Discussion Papers 10336, C.E.P.R. Discussion Papers.
  • Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015. "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers 10889, C.E.P.R. Discussion Papers.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015. "Ripple effects from industry defaults," CEPR Discussion Papers 10891, C.E.P.R. Discussion Papers.
• Manuel A. Zambrano-Monserrate & Daniel A. Sanchez-Loor, 2015. "Factores determinantes del salario del sector privado en el Ecuador para el año 2014: un caso de estudio en la ciudad de Guayaquil," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 139-151, Septiembr.
• David Chinarro & Eduardo Martínez & Simón J. Sosvilla, 2015. "Analysis of the evolution of sovereign bond yields by wavelet techniques," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 152-162, Septiembr.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 791-837.
  • Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers 676, China Economics and Management Academy, Central University of Finance and Economics.
• Kutasi, Gábor, 2015. "Banking Contagion under Different Exchange Rate Regimes in CEE," Corvinus Economics Working Papers (CEWP) 2015/11, Corvinus University of Budapest.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin 1444, DIW Berlin, German Institute for Economic Research.
• Dooruj Rambaccussing, 2015. "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics 287, Economic Studies, University of Dundee.
• Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
• Kutluk KaÄŸan SÃœMER, 2015. "Effectiveness of technical analysis indicators over stock return: A Panel Data Approach," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 1(1), pages 43-56, February.
• Dacorogna, Michel M & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," MPRA Paper 67402, University Library of Munich, Germany.
  • Dacorogna, Michel & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers WP1517, ESSEC Research Center, ESSEC Business School.
• Philipp Hartmann, 2015. "Real Estate Markets and Macroprudential Policy in Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 69-80, March.
  • Hartmann, Philipp, 2015. "Real estate markets and macroprudential policy in Europe," Working Paper Series 1796, European Central Bank.
• Golez, Benjamin & Koudijs, Peter, 2015. "Four Centuries of Return Predictability," Research Papers 3259, Stanford University, Graduate School of Business.
• Fatih B. GUMUS & Yusuf DAYIOGLU, 2015. "An Analysis on The Socio-Economic and Demographic Factors That Have an Effect on The Risk Taking Preferences of Personal Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 136-147.
• Alaaeddin Al-Tarawneh & Mohmmad Khataybeh, 2015. "Portfolio Behaviour of Commercial Banks: The Expected Utility Approach: Evidence from Jordan," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 312-323.
• Fethi Belhaj & Ezzeddine Abaoub, 2015. "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 354-364.
• Abdulkadir Abdulrashid Rafindadi, 2015. "Are the Contentious Issues of Exchange Rate Misalignment in Nigeria a Prelude to the Country's Currency Crisis?," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 716-731.
• Greg Ekpung Edame & Okoiarikpo Benjamin Okoi, 2015. "Fiscal Deficits and Economic Growth in Nigeria: A Chow Test Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 748-752.
• Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
• Becchetti, Leonardo & Ciciretti, Rocco & Hasan, Iftekhar, 2015. "Corporate social responsibility, stakeholder risk, and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 297-309.
  • Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan, 2013. "Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility," CEIS Research Paper 285, Tor Vergata University, CEIS, revised 16 Dec 2013.
• Aymanns, Christoph & Farmer, J. Doyne, 2015. "The dynamics of the leverage cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 155-179.
  • Christoph Aymanns & J. Doyne Farmer, 2014. "The dynamics of the leverage cycle," Papers 1407.5305, arXiv.org, revised Aug 2014.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  • Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
  • Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
• Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  • Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  • Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
• Bilson, John F.O. & Kang, Sang Baum & Luo, Hong, 2015. "The term structure of implied dividend yields and expected returns," Economics Letters, Elsevier, vol. 128(C), pages 9-13.
• Raviv, Eran, 2015. "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, vol. 129(C), pages 112-115.
• Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
  • Stelios Bekiros & Rangan Gupta, 2015. "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers 201505, University of Pretoria, Department of Economics.
• Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  • Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
  • 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 17334, National Bureau of Economic Research, Inc.
• Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
• Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Brockwell, Peter J. & Lindner, Alexander, 2015. "Prediction of Lévy-driven CARMA processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 263-271.
• Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
• Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
• Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
• Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  • Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
• Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
• BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
• Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
• Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015. "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 263-275.
• Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
• Kim, Daehwan, 2015. "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 156-171.
• Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.
• He, Ling T. & Casey, K.M., 2015. "Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices," Energy Economics, Elsevier, vol. 47(C), pages 121-128.
• Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael, 2015. "A spot-forward model for electricity prices with regime shifts," Energy Economics, Elsevier, vol. 47(C), pages 142-153.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
• Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Energy Economics, Elsevier, vol. 48(C), pages 18-23.
  • Paresh K. Narayan & Rangan Gupta, 2014. "Has Oil Pirce Predicted Stock Returns for Over a Century?," Working Papers 201446, University of Pretoria, Department of Economics.
  • Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Working Papers fe_2015_08, Deakin University, Department of Economics.
• Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015. "Expected commodity returns and pricing models," Energy Economics, Elsevier, vol. 49(C), pages 60-71.
• Zhang, Jin-Liang & Zhang, Yue-Jun & Zhang, Lu, 2015. "A novel hybrid method for crude oil price forecasting," Energy Economics, Elsevier, vol. 49(C), pages 649-659.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Energy Economics, Elsevier, vol. 50(C), pages 391-402.
  • Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Working Papers fe_2015_05, Deakin University, Department of Economics.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
• Philip, Dennis & Shi, Yukun, 2015. "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 27-37.
• Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  • Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: some new evidence," Working Papers fe_2015_13, Deakin University, Department of Economics.
• Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan, 2015. "On the efficiency of the global gold markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 218-236.
• Mihaylov, George & Cheong, Chee Seng & Zurbruegg, Ralf, 2015. "Can security analyst forecasts predict gold returns?," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 237-246.
• Echterling, F. & Eierle, B. & Ketterer, S., 2015. "A review of the literature on methods of computing the implied cost of capital," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 235-252.
• Albert, Stéphane, 2015. "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 253-269.
• Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
• Ozturk, Serda Selin & Richard, Jean-Francois, 2015. "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, vol. 12(C), pages 67-76.
• Meub, Lukas & Proeger, Till & Bizer, Kilian & Spiwoks, Markus, 2015. "Strategic coordination in forecasting – An experimental study," Finance Research Letters, Elsevier, vol. 13(C), pages 155-162.
• Baur, Dirk G. & Löffler, Gunter, 2015. "Predicting the equity premium with the demand for gold coins and bars," Finance Research Letters, Elsevier, vol. 13(C), pages 172-178.
• Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
• Godek, Paul E., 2015. "A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles," Finance Research Letters, Elsevier, vol. 13(C), pages 29-35.
• Malliaris, A.G. & Malliaris, Mary, 2015. "What drives gold returns? A decision tree analysis," Finance Research Letters, Elsevier, vol. 13(C), pages 45-53.
• Ballestra, Luca Vincenzo & Cecere, Liliana, 2015. "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, vol. 14(C), pages 45-55.
• Mei, Bin, 2015. "Illiquidity and risk of commercial timberland assets in the United States," Journal of Forest Economics, Elsevier, vol. 21(2), pages 67-78.
• Bansal, Vipul K. & Marshall, John F., 2015. "A tracking error approach to leveraged ETFs: Are they really that bad?," Global Finance Journal, Elsevier, vol. 26(C), pages 47-63.
• Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
• Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
• Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015. "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 130-147.
• Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
  • Beneish, M. D. & Lee, C. M. C. & Nichols, D. C., 2014. "In Short Supply: Short-Sellers and Stock Returns," Research Papers 3064, Stanford University, Graduate School of Business.
• Cogneau, Philippe & Hübner, Georges, 2015. "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 224-241.
• Jessen, Cathrine & Lando, David, 2015. "Robustness of distance-to-default," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 493-505.
• Lin, Tse-Chun & Lu, Xiaolong, 2015. "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 17-28.
• Tian, Shaonan & Yu, Yan & Guo, Hui, 2015. "Variable selection and corporate bankruptcy forecasts," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 89-100.
• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
• Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015. "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 1-14.
• Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.
• Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  • Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
• Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
• Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  • Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
• Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
• Barroso, Pedro & Santa-Clara, Pedro, 2015. "Momentum has its moments," Journal of Financial Economics, Elsevier, vol. 116(1), pages 111-120.
• Lyle, Matthew R. & Wang, Charles C.Y., 2015. "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, vol. 116(3), pages 505-525.
• Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  • Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
• Li, Gang & Li, Yong, 2015. "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, vol. 46(P2), pages 167-176.
• Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
  • Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
• Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015. "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 541-557.
• Vo, Minh & Cohen, Michael & Boulter, Terry, 2015. "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 558-573.
• Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.
• Karmakar, Madhusudan & Shukla, Girja K., 2015. "Managing extreme risk in some major stock markets: An extreme value approach," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 1-25.
• Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.
• Vortelinos, Dimitrios I. & Lakshmi, Geeta, 2015. "Market risk of BRIC Eurobonds in the financial crisis period," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 295-310.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015. "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, vol. 25(C), pages 19-26.
• Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
• Vortelinos, Dimitrios I., 2015. "Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets," Review of Financial Economics, Elsevier, vol. 27(C), pages 58-67.
• Moumen, Néjia & Ben Othman, Hakim & Hussainey, Khaled, 2015. "The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 177-204.
• A. Abramov & A. Radygin & M. Chernova, 2015. "Long-term Portfolio investment: New insight into Return and Risk," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
  • Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015. "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, vol. 1(3), pages 273-293.
• Javier Prado-Dominguez & Carlos Fernández-Herráiz, 2015. "A Sharpe-ratio-based measure for currencies," European Journal of Government and Economics, Europa Grande, vol. 4(1), pages 67-75, June.
• Thomas Theobald, 2015. "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 780-820, October.
  • Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
• P. K. Gupta & Sanjeev Gupta, 2015. "Corporate frauds in India – perceptions and emerging issues," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 22(1), pages 79-103, January.
• P. K. Gupta & Sanjeev Gupta, 2015. "Corporate frauds in India – perceptions and emerging issues," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 22(1), pages 79-103, January.
• Ling T. He, 2015. "Forecasting of housing stock returns and housing prices," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(2), pages 90-103, May.
• Ling T. He, 2015. "Forecasting of housing stock returns and housing prices," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(2), pages 90-103, May.
• Ling T. He, 2015. "Forecasting of housing stock returns and housing prices," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(2), pages 90-103, May.
• Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
• Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ling, S. & McAleer, M.J. & Tong, H., 2015. "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers EI 2015-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
• Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
  • Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Mohsen Ghobadi, Mitra Torabi, 2015. "Investment Rankings Based On Technical Analysis By Fuzzy Mcdm In Tehran Stock Exchange," Ekonomika, Journal for Economic Theory and Practice and Social Issues 2015-02, „Ekonomika“ Society of Economists, Niš (Serbia).
• Óscar V. De la Torre Torres. & Evaristo Galeana Figueroa. & Dora Aguilasocho Montoya., 2015. "An Actual Position Benchmark for Mexican Pension Funds Performance," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 43(2), pages 133-154, Julio-Dic.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
• Krzysztof DRACHAL, 2015. "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, vol. 3(2), pages 136-142.
• Levent Bulut, 2017. "Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 1(1), pages 1-13.
  • Levent Bulut, 2015. "Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?," European Journal of Economic and Political Studies, Fatih University, vol. 8(2), pages 1-13.
• Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
• Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
  • Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
• Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the term structure of crude oil futures prices with neural networks," Papers 1504.04819, arXiv.org.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES 2015/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
• Michael B. Gordy & Pawel J. Szerszen, 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
• Christopher J. Neely, 2015. "Financial Engineering Versus Cancer," Economic Synopses, Federal Reserve Bank of St. Louis, issue 18.
• Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
  • Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
• Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
  • Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
  • Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
  • Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
• Ravioli, Mario & Fabregat-Aibar, Laura, 2015. "Analysis Of Recommendations About Expected Prices Of Ibex 35 Using Fuzzy Numbers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 51-70, May.
• Yanina Laumann, 2015. "Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-17, November.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
  • Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
• Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
• Nuno Silva, 2015. "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculty of Economics, University of Coimbra, issue 41, pages 28-38, June.
• António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
• António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
• António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
• António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
• Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF, Faculty of Economics, University of Coimbra.
• Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF, Faculty of Economics, University of Coimbra.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print hal-01159741, HAL.
• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Post-Print halshs-01254729, HAL.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01254729, HAL.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print hal-01159741, HAL.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
• Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset Pricing Anomalies," Post-Print hal-01369851, HAL.
• Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 798-838.
  • Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Post-Print hal-02313212, HAL.
• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Post-Print halshs-01254729, HAL.
  • Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01254729, HAL.
• Dacorogna, Michel & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers WP1517, ESSEC Research Center, ESSEC Business School.
  • Michel Dacorogna & Marie Kratz, 2015. "Living in a Stochastic World and Managing Complex Risks," Working Papers hal-01218056, HAL.
  • Dacorogna, Michel M & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," MPRA Paper 67402, University Library of Munich, Germany.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, vol. 64(C), pages 25-34.
  • Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers - Cahiers du LEF 2015-07, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Jul 2015.
  • Antonello Lobianco & Arnaud A. Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers hal-01627581, HAL.
• Edina Berlinger & György Walter, 2015. "Introduction of an Income Contingent Repayment Scheme for Non-Performing Mortgage Loans - Lessons from Hungary’s Case," CERS-IE WORKING PAPERS 1502, Institute of Economics, Centre for Economic and Regional Studies.
• Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
• De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
• Misund, Bård, 2015. "Financial Ratios and Prediction on Corporate Bankruptcy in the Atlantic Salmon Industry," UiS Working Papers in Economics and Finance 2015/9, University of Stavanger.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
• Junni L. Zhang & Wolfgang K. Härdle & Cathy Y. Chen & Elisabeth Bommes, 2015. "Distillation of News Flow into Analysis of Stock Reactions," SFB 649 Discussion Papers SFB649DP2015-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle, 2015. "Copula-Based Factor Model for Credit Risk Analysis," SFB 649 Discussion Papers SFB649DP2015-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Radu Lupu & Adrian Cantemir Calin & Georgiana Roxana Ene, 2015. "Are the Announcements Regarding Macroeconomic Fundamentals Responsible for Changes in the Dynamics of Stock Markets? CEE vs Developed Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 3(3), pages 3-13, September.
• Jun-Biao Lin, 2015. "Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(3), pages 59-69.
• Eduardo Sandoval, 2015. "Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergen," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 8(4), pages 27-44.
• Toshinao Yoshiba, 2015. "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series 15-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
• Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015. "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(2), pages 115-130, Julio-Dic.
• Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2015. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," Management Science, INFORMS, vol. 61(9), pages 2220-2240, September.
  • Agarwal, Sumit & Ben-David, Itzhak & Yao, Vincent, 2012. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real-Estate Market," Working Paper Series 2012-29, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2013. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," NBER Working Papers 19606, National Bureau of Economic Research, Inc.
• , "undated". "," IPEK Working Papers 1509, Ipek University, Department of Economics.
• Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers 13-055/III, Tinbergen Institute, revised 16 Jan 2015.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers 2013:08, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Harman K. van Dijk, 2014. "Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox," Working Paper 2014/11, Norges Bank.
• Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
• Mark Freeman & Ben Groom, 2015. "Using equity premium survey data to estimate future wealth," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 665-693, November.
  • Freeman, Mark C. & Groom, Ben, 2014. "Using equity premium survey data to estimate future wealth," LSE Research Online Documents on Economics 57161, London School of Economics and Political Science, LSE Library.
• Fabian Baetje & Lukas Menkhoff, 2015. "Equity Premium Prediction: Are Economic and Technical Indicators Instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy.
• Alper Veli ÇAM, 2015. "Notes on the2015 Finance Symposium," Journal of Economics Library, KSP Journals, vol. 2(4), pages 378-379, December.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, vol. 64(C), pages 25-34.
  • Antonello Lobianco & Arnaud A. Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers hal-01627581, HAL.
  • Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers - Cahiers du LEF 2015-07, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Jul 2015.
• Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," CIRANO Working Papers 2015s-23, CIRANO.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1506, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1515, CIRPEE.
• Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," CIRANO Working Papers 2015s-23, CIRANO.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1515, CIRPEE.
  • Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015. "Securities Transactions Taxes and Financial Crises," Cahiers de recherche 1506, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Alexandru Mandes, 2015. "Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework," MAGKS Papers on Economics 201515, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Alexandru Mandes & Peter Winker, 2017. "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
  • Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015. "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 1(1), pages 24-35.

2014

• Marko Milojević & Ivica Terzić, 2014. "Modeling Market Risk In Frontier Equity Markets—Evidence From Serbia," CBU International Conference Proceedings, ISE Research Institute, vol. 2(0), pages 126-133, July.
• Mária Bohdalová & Michal Greguš, 2014. "Cointegration Analysis Of The Foreign Exchange Rate Pairs," CBU International Conference Proceedings, ISE Research Institute, vol. 2(0), pages 147-153, July.
• Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  • Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
• Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
• Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  • Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
• Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & da Silva, Jorge A. & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 46(4), pages 457-485, November.
  • Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & Silva, Jorge A. da & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 46(4), pages 1-28, November.
• Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
• Alina Georgiana Manta & Roxana Maria Badîrcea, 2014. "Measuring The Efficiency In The Romanian Banking System Through The Method Of The Data Envelopment Analysis (Dea)," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(42), pages 23-34.
• Lect. Mirela Elena Nichita Ph. D, 2014. "Financial Reporting In Romania And Changes In Management Structure," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(22), pages 85-91, APRIL.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
• Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
  • Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
• Aymanns, Christoph & Farmer, J. Doyne, 2015. "The dynamics of the leverage cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 155-179.
  • Christoph Aymanns & J. Doyne Farmer, 2014. "The dynamics of the leverage cycle," Papers 1407.5305, arXiv.org, revised Aug 2014.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
• Felipe Klein, 2014. "Estimación de la probabilidad de default: un modelo probit para los bancos argentinos," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., vol. 2(2), pages 88-115, Octubre.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  • Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
• Mikhail Stolbov, 2014. "International Credit Cycles: A Regional Perspective," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
  • Stolbov, Mikhail, 2012. "International credit cycles: a regional perspective," MPRA Paper 37773, University Library of Munich, Germany.
• Christensen, Ian & Li, Fuchun, 2014. "Predicting financial stress events: A signal extraction approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 54-65.
  • Ian Christensen & Fuchun Li, 2014. "Predicting Financial Stress Events: A Signal Extraction Approach," Staff Working Papers 14-37, Bank of Canada.
• Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  • M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
• M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers) 954, Bank of Italy, Economic Research and International Relations Area.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2014. "Modelación de la asimetría y curtosis condicionales: una aplicación VaR para series colombianas," Borradores de Economia 834, Banco de la Republica de Colombia.
• Vuillemey, G. & R gis Breton, 2014. "Endogenous Derivative Networks," Working papers 483, Banque de France.
• Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
  • Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
• Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  • M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
• Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
  • Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers 13-055/III, Tinbergen Institute, revised 16 Jan 2015.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Harman K. van Dijk, 2014. "Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox," Working Paper 2014/11, Norges Bank.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers 2013:08, Department of Economics, University of Venice "Ca' Foscari".
• Evangelos C. Charalambakis, 2014. "On corporate financial distress prediction: what can we learn from private firms in a small open economy?," Working Papers 188, Bank of Greece.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Sommer Friedrich & Rose Christian & Wöhrmann Arnt, 2014. "Negative Value Indicators in Relative Valuation – An Empirical Perspective," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 9(1), pages 23-54, January.
• Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
  • Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
• Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
  • Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
• Marco Aurélio dos Santos Sanfins & Danilo Soares Monte-Mor, 2014. "RiD: A New Approach to Estimate the Insolvency Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(2), pages 229-255.
• Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
  • Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão 624, Department of Economics PUC-Rio (Brazil).
• Glener de Almeida Dourado & Benjamin Miranda Tabak, 2014. "Testing the Adaptive Markets Hypothesis for Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 517-553.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
• Congressional Budget Office, 2014. "Budgetary Estimates for the Single-Family Mortgage Guarantee Program of the Federal Housing Administration," Reports 45740, Congressional Budget Office.
• Congressional Budget Office, 2014. "Budgetary Estimates for the Single-Family Mortgage Guarantee Program of the Federal Housing Administration," Reports 45740, Congressional Budget Office.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
  • Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers wp511, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Mason, Charles F. & A. Wilmot, Neil, 2014. "Jump processes in natural gas markets," Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
  • Charles F. Mason & Neil Wilmot, 2014. "Jump Processes in Natural Gas Markets," CESifo Working Paper Series 4604, CESifo.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.
• Guillaume Vuillemey, 2014. "Solvency vs. liquidity. A decomposition of European banks' credit risk over the business cycle," International Economics, CEPII research center, issue 137, pages 32-51.
• Mircea-Iosif RUS & Andreea HEGYI & Mircea-Ioan PASTRAV, 2014. "Research Funding After The Economic Crisis.Comparative Study," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 3, pages 518-524, April.
• Mario Alejandro Acosta R., 2014. "Las acciones como activo de reserva para el Banco de la Rep√∫blica," Documentos CEDE 11004, Universidad de los Andes, Facultad de Economía, CEDE.
• Carlos Castro Iragorri, 2014. "La Administraci√≥n Cuantitativa del Riesgo Financiero en la provisi√≥n de un Plan de Salud," Documentos de Trabajo 12048, Universidad del Rosario.
• Cecilia Maya Ochoa & Juli�n Pareja Vasseur, 2014. "Valoración de opciones reales a través de equivalentes de certeza," Revista Ecos de Economía, Universidad EAFIT.
• Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
  • BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," LIDAM Discussion Papers CORE 2014012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Przemyslaw Krzysztof Juszczuk, 2014. "Impact of the Fundamental Analysis on the Financial Decision Support Systems Efficiency," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 45(2), pages 147-159.
• Dorota Ewa Grochowina, 2014. "The Influence of Data Imputation Methods on the Classification Efficiency of the Logit Model Used for Forecasting the Bankruptcy of Companies," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 45(2), pages 187-203.
• Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
  • Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021. "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
  • Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
  • Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
• Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
• Bosman, Ronald & Kräussl, Roman & van Galen, Thomas, 2014. "Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception," CFS Working Paper Series 495, Center for Financial Studies (CFS).
  • Roman Kräussl & Ronald Bosman & Thomas van Galen, 2014. "Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception," LSF Research Working Paper Series 14-11, Luxembourg School of Finance, University of Luxembourg.
• Grané Chávez, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
• Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 37(103), pages 13-28, Abril.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
• Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & Silva, Jorge A. da & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 46(4), pages 1-28, November.
  • Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & da Silva, Jorge A. & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 46(4), pages 457-485, November.
• Mehri, Meryem, 2014. "Frais, performance et risque des fonds d'investissement islamiques et conventionnels : une approche théorique et empirique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14813 edited by Jouini, Elyès.
• Koliai, Lyes, 2014. "Stress testing and financial risks," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15231 edited by Avouyi-Dovi, Sanvi.
• Dirk Ulbricht, 2014. "John Doe's Old-Age Provision: Dollar Cost Averaging and Time Diversification," Discussion Papers of DIW Berlin 1376, DIW Berlin, German Institute for Economic Research.
• Helmut Herwartz & Konstantin A. Kholodilin, 2014. "Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles," Discussion Papers of DIW Berlin 1405, DIW Berlin, German Institute for Economic Research.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
• Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
  • Beneish, M. D. & Lee, C. M. C. & Nichols, D. C., 2014. "In Short Supply: Short-Sellers and Stock Returns," Research Papers 3064, Stanford University, Graduate School of Business.
• Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
  • Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
• Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
• Alex Granate, 2014. "Directions of the State Effect on the Development of Communication Systems of the Agrarian Sector Enterprises," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 572-579.
• Mesut BALLIBEY & Serpil T RKYILMAZ, 2014. "Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 836-848.
• Kadir Tuna & Mehmet Tuna & Alper Ozun, 2014. "Uluslararasý Portföy Yönetiminde Rejim Geçiþken Karar Destek Modelleri: Geliþmekte Olan Menkul Kýymet Piyasalarý Üzerine Bir Uygulama," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 2(2), pages 27-43.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
• Wu, Wan-Ting, 2014. "The forward E/P ratio and earnings growth," Advances in accounting, Elsevier, vol. 30(1), pages 128-142.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014. "TVICA—Time varying independent component analysis and its application to financial data," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 95-109.
• Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  • Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
• Lee, Yongwoong & Poon, Ser-Huang, 2014. "Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 69-92.
• Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
• Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
• Zhang, Tai-Wei & Wu, Wei-Hwa, 2014. "The asymmetric predictability of high-yield bonds," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 146-155.
• Demiralay, Sercan & Ulusoy, Veysel, 2014. "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 183-202.
• Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  • David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
• Basu, Anup K. & Chen, En Te & Clements, Adam, 2014. "Are lifecycle funds appropriate as default options in participant-directed retirement plans?," Economics Letters, Elsevier, vol. 124(1), pages 51-54.
• Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
  • Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014. "Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting," Working Papers 201404, University of California at Riverside, Department of Economics.
• Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin, 2014. "The nonlinear price dynamics of U.S. equity ETFs," Journal of Econometrics, Elsevier, vol. 183(2), pages 193-201.
• Bhargava, Alok, 2014. "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, vol. 183(2), pages 241-250.
• Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.
• Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
• Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
• Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-325, Department of Research, Ipag Business School.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
• Brigida, Matthew, 2014. "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, vol. 43(C), pages 48-55.
• Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios, 2014. "Forecasting energy markets using support vector machines," Energy Economics, Elsevier, vol. 44(C), pages 135-142.
• Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
• Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
• Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.
• Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
• Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  • Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
• Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
• Briec, Walter & Oms, Laurence & Paget-Blanc, Eric, 2014. "Shortage function and portfolio selection: On some special cases and extensions," Finance Research Letters, Elsevier, vol. 11(3), pages 295-302.
• Tsai, Hui-Ju & Wu, Yangru, 2014. "Optimal portfolio choice for investors with industry-specific labor income risks," Finance Research Letters, Elsevier, vol. 11(4), pages 429-436.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  • Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  • Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
• Christensen, Ian & Li, Fuchun, 2014. "Predicting financial stress events: A signal extraction approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 54-65.
  • Ian Christensen & Fuchun Li, 2014. "Predicting Financial Stress Events: A Signal Extraction Approach," Staff Working Papers 14-37, Bank of Canada.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  • Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
  • Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ye, George L., 2014. "The interactions between China and US stock markets: New perspectives," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 331-342.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
• Alizadeh, Amir H. & Muradoglu, Gulnur, 2014. "Stock market efficiency and international shipping-market information," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 445-461.
• Lee, Hee Soo & Kim, Tae Yoon, 2014. "Dynamic prediction of hedge fund survival in crisis-prone financial markets," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 57-67.
• Altman, Edward I. & Kalotay, Egon A., 2014. "Ultimate recovery mixtures," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 116-129.
• Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
• Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
• Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
• Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen, 2014. "Loss given default for leasing: Parametric and nonparametric estimations," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 364-375.
• Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
  • Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Working Papers fe_2014_08, Deakin University, Department of Economics.
• Vozlyublennaia, Nadia, 2014. "Investor attention, index performance, and return predictability," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 17-35.
• Zhang, Yuzhao, 2014. "Contrarian flows, consumption and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 101-111.
• Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
• Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  • Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014. "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper series 02_14, Rimini Centre for Economic Analysis.
• Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
• Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
• Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
  • Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
• Dias, Alexandra, 2014. "Semiparametric estimation of multi-asset portfolio tail risk," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 398-408.
• Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
  • Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
• Egan, Daniel & Merkle, Christoph & Weber, Martin, 2014. "Second-order beliefs and the individual investor," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 652-666.
• Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  • Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
• Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle, 2014. "Disagreement and asset prices," Journal of Financial Economics, Elsevier, vol. 114(2), pages 226-238.
• Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 95-109.
• Lee, Bong-Soo & Ko, Kwangsoo, 2014. "Are Japanese short sellers information detectives?," Journal of the Japanese and International Economies, Elsevier, vol. 34(C), pages 89-97.
• Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
• Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014. "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 44-61.
  • Narayan, Paresh Kumar & Ali Ahmed, Huson & Sharma, Susan Sunila & Prabheesh, K. P., 2014. "How profitable is the Indian stock market?," Working Papers fe_2014_14, Deakin University, Department of Economics.
• Kumar, Dilip & Maheswaran, S., 2014. "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 128-140.
• Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
• Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
• Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
• Ozge KORKMAZ & Suleyman Serdar KARACA, 2014. "Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(1), pages 21-29.
• Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario., 2014. "Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(324), pages .943-988, octubre-d.
• Anastasios Evgenidis & Costas Siriopoulos, 2014. "A robust pricing of specific structured bonds with coupons," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(3), pages 234-247, May.
• Moorad Choudry & Jonas Lorson & Joël Wagner, 2014. "The pricing of hedging longevity risk with the help of annuity securitizations," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(4), pages 385-416, August.
• Anastasios Evgenidis & Costas Siriopoulos, 2014. "A robust pricing of specific structured bonds with coupons," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(3), pages 234-247, May.
• Jonas Lorson & Joël Wagner, 2014. "The pricing of hedging longevity risk with the help of annuity securitizations," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(4), pages 385-416, August.
• Anastasios Evgenidis & Costas Siriopoulos, 2014. "A robust pricing of specific structured bonds with coupons," Journal of Risk Finance, Emerald Group Publishing, vol. 15(3), pages 234-247, May.
• Jonas Lorson & Joël Wagner, 2014. "The pricing of hedging longevity risk with the help of annuity securitizations: An application to the German market," Journal of Risk Finance, Emerald Group Publishing, vol. 15(4), pages 385-416, August.
• Jozef Barunik & Tomáš Krehlik, 2014. "Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility," Working Papers IES 2014/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
• Kraicová Lucie & Baruník Jozef, 2017. "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
  • Jozef Baruník & Lucie Kraicová, 2014. "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES 2014/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
  • Kraicova, Lucie & Barunik, Jozef, 2015. "Estimation of long memory in volatility using wavelets," FinMaP-Working Papers 33, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Adelino, Manuel & Scott Frame, W. & Gerardi, Kristopher, 2017. "The effect of large investors on asset quality: Evidence from subprime mortgage securities," Journal of Monetary Economics, Elsevier, vol. 87(C), pages 34-51.
  • Manuel Adelino & W. Scott Frame & Kristopher Gerardi, 2014. "The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities," FRB Atlanta Working Paper 2014-4, Federal Reserve Bank of Atlanta.
• Lansing, Kevin J. & Ma, Jun, 2017. "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 62-87.
  • Kevin J. Lansing & Jun Ma, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco.
• Alvarez, Fernando & Barlevy, Gadi, 2021. "Mandatory disclosure and financial contagion," Journal of Economic Theory, Elsevier, vol. 194(C).
  • Gadi Barlevy & Fernando Alvarez, 2014. "Mandatory Disclosure and Financial Contagion," 2014 Meeting Papers 115, Society for Economic Dynamics.
  • Fernando Alvarez & Gadi Barlevy, 2014. "Mandatory Disclosure and Financial Contagion," Working Paper Series WP-2014-4, Federal Reserve Bank of Chicago.
  • Fernando Alvarez & Gadi Barlevy, 2015. "Mandatory Disclosure and Financial Contagion," NBER Working Papers 21328, National Bureau of Economic Research, Inc.
• Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2016. "Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 35-55.
  • Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014. "Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model," Staff Reports 663, Federal Reserve Bank of New York.
• Allan M. Malz, 2014. "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports 677, Federal Reserve Bank of New York.
• Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
• Vladimir R. Evstigneev, 2014. "Modeling TradersХ Expectations in the FX Market in Terms of Distributions with a Functional Parameter," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 25-34, March.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
• Bose, Udichibarna & MacDonald, Ronald & Tsoukas, Serafeim, 2014. "The role of education in equity portfolios during the recent financial crisis," SIRE Discussion Papers 2015-26, Scottish Institute for Research in Economics (SIRE).
  • Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014. "The role of education in equity portfolios during the recent financial crisis," Working Papers 2014_17, Business School - Economics, University of Glasgow.
• Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
  • Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
  • Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
  • Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio management of mixed-species forests," Working Papers - Cahiers du LEF 2014-09, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Aug 2014.
  • Marielle Brunette & Arnaud A. Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio Management of Mixed-Species Forests," Post-Print hal-01628375, HAL.
• Saty Patrabansh & William M. Doerner & Samuel Asin, 2014. "The Effects of Monetary Policy on Mortgage Rates," FHFA Staff Working Papers 14-02, Federal Housing Finance Agency.
• Lundström, Christian, 2014. "Money management with optimal stopping of losses for maximizing the returns of futures trading," Umeå Economic Studies 884, Umeå University, Department of Economics.
• Dranev Yury & Maxim Babushkin, 2014. "Asymmetric exchange-rate exposure in BRIC countries," HSE Working papers WP BRP 27/FE/2014, National Research University Higher School of Economics.
• Liudmila G. Egorova, 2014. "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers WP BRP 29/FE/2014, National Research University Higher School of Economics.
• Valeria V. Lakshina, 2014. "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers WP BRP 37/FE/2014, National Research University Higher School of Economics.
• Nikolay A. Andreev, 2014. "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers WP BRP 38/FE/2014, National Research University Higher School of Economics.
• Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting, 2014. "Adaptive Order Flow Forecasting with Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2014-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici, 2014. "Modeling Risk Convergence for European Financial Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 2(3), pages 3-12, September.
• Eduardo Sandoval & Paula Urrutia, 2014. "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 25-40.
• Jorge A. Restrepo M & Santiago Medina H, 2014. "Operational Risk Estimation Uncertainty On Environment: A Case Study, Estimacion Del Riesgo Operativo Bajo Ambiente De Incertidumbre: Estudio De Caso," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 39-54.
• Başçi, Eşref Savaş & Memiş, Fatih, 2014. "A Comparion of the Performances of Type A Mutual Funds Before and After 2008 Global Economic Crisis in Turkey," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1(1), pages 3-8.
  • Esref Savas BASCI & Fatih MEMIS, 2014. "A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 26-31, December.
• Erginbay UGURLU, 2014. "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 302-310, December.
• Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
  • Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
  • Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
• Abderrazak Dhaoui & Naceur Khraief, 2014. "Does Human Psychology Drive Financial Markets? Evidence from International Markets," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 2(3), pages 100-108, March.
• Rohini Grover & Ajay Shah, 2014. "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-031, Indira Gandhi Institute of Development Research, Mumbai, India.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  • 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 2010-008, Federal Reserve Bank of St. Louis.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
• Dorra Najar, 2014. "Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation," Working Papers 2014-195, Department of Research, Ipag Business School.
• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  • Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
  • Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  • Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-325, Department of Research, Ipag Business School.
• Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
  • Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
  • Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
  • Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
• Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-325, Department of Research, Ipag Business School.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012. "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
• Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive 37358, Iowa State University, Department of Economics.
• Krishna Reddy Chittedi*, 2014. "Global financial crisis and contagion: evidence for the Ebrici economies," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(4), pages 243-264, October-D.
• Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
• Boris Georgiev, 2014. "Constrained Mean-Variance Portfolio Optimization with Alternative Return Estimation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(1), pages 91-107, March.
• João Bastos, 2014. "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(2), pages 177-193, October.
  • Joao A. Bastos, 2013. "Ensemble predictions of recovery rates," CEMAPRE Working Papers 1301, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014. "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 165-184, August.
• Pengguo Wang, 2014. "On the relevance of earnings components in valuation and forecasting," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 399-413, April.
• Sorin Claudiu Radu, 2014. "Testing the Market Model – A Case Study of Fondul Proprietatea (FP)," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(1), pages 126-131, March.
• Christian Pierdzioch & Stefan Reitz & Jan-Christoph Ruelke, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," Kiel Working Papers 1947, Kiel Institute for the World Economy.
• Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
• Alina Kvietkauskienė, 2014. "Real Time Investments with Adequate Portfolio Theory," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 2(4), pages 85-100.
• Başçi, Eşref Savaş & Sakinç, Öznur, 2014. "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1(1), pages 3-6.
  • Eþref Savaþ BAÞÇI & Öznur SAKINÇ, 2014. "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," Journal of Social and Administrative Sciences, KSP Journals, vol. 1(1), pages 3-8, December.
  • Eþref Savaþ BAÞÇI & Öznur SAKINÇ, 2014. "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," Turkish Economic Review, KSP Journals, vol. 1(1), pages 3-6, December.
  • Esref Savas BASCI & Oznur SAKINC, 2014. "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 32-36, December.
• Marielle Brunette & Arnaud A. Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio Management of Mixed-Species Forests," Post-Print hal-01628375, HAL.
  • Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio management of mixed-species forests," Working Papers - Cahiers du LEF 2014-09, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Aug 2014.
• Ömer Akgöbek & Emre Yakut, 2014. "Efficiency measurement in Turkish manufacturing sector using Data Envelopment Analysis (DEA) and Artificial Neural Networks (ANN)," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(3), pages 35-45, June.
• Joocheol Kim & Eunhwan Kim, 2014. "An Empirical Analysis on Credit Risk Models and its Application," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(4), pages 14-27, August.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
• Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Cottarelli, Carlo & Gerson, Philip & Senhadji, Abdelhak (ed.), 2014. "Post-crisis Fiscal Policy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262027186, December.
• Oliver D. Bunn & Robert J. Shiller, "undated". "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
  • Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
• Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
• Cociuba Mihail Ioan & Zapodeanu Daniela & Kulcsar Edina, 2014. "Backtesting Value At Risk Models In The Presence Of Structural Break On The Romanian And Hungarian Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 802-812, July.
• Batrancea Ioan & Andone Diana & Csegedi sandor & Gaban Lucian, 2014. "Modalities Of Financial Structure Analysis In Romanian Entities In The Post Crisis Era," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 813-819, July.
• Ciumas Cristina & Chis Diana-Maria, 2014. "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 864-873, July.
• Maris Angela & Andone Diana & Csegedi Sandor & Gaban Lucian, 2014. "Aggregate Rating Model In The Tourism Industry," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 959-965, July.
• Droj Laurentiu, 2014. "Financial Indicators For The Romanian Companies Between Eligibility And Bankability Of Eu Financed Projects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 332-341, December.
• Ai Deng, 2014. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150.
  • Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150, December.
• Mark Hallam & Jose Olmo, 2014. "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Oxford University Press, vol. 12(2), pages 408-432.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  • Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  • Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
• Kevin Sheppard & Wen Xu, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  • Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
• Marina Pando & Melissa Villanueva, 2014. "¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD," Chapters of Books, in: Francisco B. Galarza (ed.), Economía aplicada: Ensayos de investigación económica 2013, edition 1, volume 1, chapter 10, pages 267-298, Fondo Editorial, Universidad del Pacífico.
• Pawel Antonowicz, 2014. "The analysis of ranges of variability of selected ratios from a group of assets productivity ratios three years before the declaration of bankruptcy by companies in Poland," Business and Economic Horizons (BEH), Prague Development Center, vol. 10(3), pages 202-213, October.
• Sebastian Majewski, 2014. "Modelling of football companies' rates of return according to sport results and bookmakers' expectations on the example of serie A," Business and Economic Horizons (BEH), Prague Development Center, vol. 10(3), pages 214-222, October.
• Magdalena Mosionek-Schweda, 2014. "The Use Of Discriminant Analysis To Predict The Bankruptcy Of Companies Listed On The Newconnect Market," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 9(3), pages 87-105, September.
• Olkhov, Victor, 2014. "Expressions of market-based correlations between prices and returns of two assets," MPRA Paper 123009, University Library of Munich, Germany.
  • Victor Olkhov, 2024. "Expressions of Market-Based Correlations Between Prices and Returns of Two Assets," Papers 2412.13172, arXiv.org.
• Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities," MPRA Paper 53769, University Library of Munich, Germany.
• Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco, 2014. "Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos [A Comparative Analysis of Models for Estimating the Volatility Distribution of ," MPRA Paper 54845, University Library of Munich, Germany.
• Sever, Can, 2014. "Systemic Liquidity Crisis with Dynamic Haircuts," MPRA Paper 55602, University Library of Munich, Germany.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
  • Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
• Yu, Eric Jinsan, 2014. "Predictive Power of Aggregate Short Interest," MPRA Paper 56259, University Library of Munich, Germany.
• Kakorina, Ekaterina, 2014. "Forecasting conditional volatility on the RIN market using MS GARCH model," MPRA Paper 56704, University Library of Munich, Germany.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
  • Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
• Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
  • Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
  • Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
• Ortiz-Arango, Francisco & Cabrera-Llanos, Agustín I. & Venegas-Martínez, Francisco, 2014. "Euro Exchange Rate Forecasting with Differential Neural Networks with an Extended Tracking Procedure," MPRA Paper 57720, University Library of Munich, Germany.
• Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
  • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
• Estrada, Fernando, 2014. "Financial crisis in The Arcades Project of Walter Benjamin," MPRA Paper 58483, University Library of Munich, Germany.
• Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
• Estrada, Fernando, 2014. "Rescate y costos del riesgo financiero [Rescue costs and financial risk]," MPRA Paper 58848, University Library of Munich, Germany.
• Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
• Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014. "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper 60155, University Library of Munich, Germany.
• Sinchugova, Regina, 2014. "Акции С Наибольшей Доходностью [Stocks with highest yield]," MPRA Paper 60902, University Library of Munich, Germany.
• Harri Pönkä, 2017. "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
  • Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
• Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study South Africa & U.S. -," MPRA Paper 68684, University Library of Munich, Germany.
• Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study Germany & U.S -," MPRA Paper 68686, University Library of Munich, Germany.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2014. "Savings Determinants of Moroccan banks: A cointegration modeling approach," MPRA Paper 76371, University Library of Munich, Germany.
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014. "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011 [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper 76629, University Library of Munich, Germany, revised 2014.
• Alexis Akira Toda & Kieran James Walsh & Stijn Van Nieuwerburgh, 2020. "The Equity Premium and the One Percent," The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3583-3623.
  • Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
  • Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
• Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
  • Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
• Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  • Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
  • Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Energy Economics, Elsevier, vol. 48(C), pages 18-23.
  • Paresh K. Narayan & Rangan Gupta, 2014. "Has Oil Pirce Predicted Stock Returns for Over a Century?," Working Papers 201446, University of Pretoria, Department of Economics.
  • Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Working Papers fe_2015_08, Deakin University, Department of Economics.
• Sasson Bar-Yosef & Itzhak Venezia, 2014. "An Experimental Study of Overconfidence in Accounting Numbers Predictions," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(1), pages 78-89.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Vincent Lacoste & Pierre Six, 2014. "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 24-40, May-June.
• Alvarez, Fernando & Barlevy, Gadi, 2021. "Mandatory disclosure and financial contagion," Journal of Economic Theory, Elsevier, vol. 194(C).
  • Fernando Alvarez & Gadi Barlevy, 2014. "Mandatory Disclosure and Financial Contagion," Working Paper Series WP-2014-4, Federal Reserve Bank of Chicago.
  • Fernando Alvarez & Gadi Barlevy, 2015. "Mandatory Disclosure and Financial Contagion," NBER Working Papers 21328, National Bureau of Economic Research, Inc.
  • Gadi Barlevy & Fernando Alvarez, 2014. "Mandatory Disclosure and Financial Contagion," 2014 Meeting Papers 115, Society for Economic Dynamics.
• Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
  • Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
  • Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015. "Origins of Stock Market Fluctuations," CEPR Discussion Papers 10336, C.E.P.R. Discussion Papers.
• Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  • Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014. "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper series 02_14, Rimini Centre for Economic Analysis.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2015. "Socially responsible and conventional investment funds: performance comparison and the global financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2541-2562, May.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," CEIS Research Paper 310, Tor Vergata University, CEIS, revised 18 Feb 2014.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," Working Paper series 04_14, Rimini Centre for Economic Analysis.
• Jiahan Li & Ilias Tsiakas & Wei Wang, 2015. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 293-341.
  • Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series 05_14, Rimini Centre for Economic Analysis.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
• Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
  • Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão 624, Department of Economics PUC-Rio (Brazil).
• Valeriya Lakshina, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
• Ahmet Bostancı & Turhan Korkmaz, 2014. "Comparison of Value at Risk Calculation Models in Terms of Banks’ Capital Adequacy Ratio," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 5(3), pages 15-41.
• Neilan Soylu & Turhan Korkmaz & Emrah İsmail Çevik, 2014. "The Impact of Central Bank Interest Rate Releases on Financial Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 5(4), pages 89-118.
• Raisul Islam, 2014. "A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 187-212.
• Rogelio Maldonado & Natalia Zapata & Javier Pantoja, 2014. "Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 19(37), pages 70-77.
• Iulian Viorel Brasoveanu & Florin Dobre & Laura Brad, 2014. "Increasing Financial Audit Quality Using A New Model To Estimate Financial Performance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-107, October.
• Radu Lupu, 2014. "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 49-64, December.
• Albu, Lucian Liviu & Lupu, Radu & Calin, Cantemir, 2014. "A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries," Working Papers of Institute for Economic Forecasting 141115, Institute for Economic Forecasting.
• Francesco Benedetto & Gaetano Giunta & Loretta Mastroeni, 2014. "Maximum entropy estimator for the predictability of energy commodity market time series," Departmental Working Papers of Economics - University 'Roma Tre' 0192, Department of Economics - University Roma Tre.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2015. "Socially responsible and conventional investment funds: performance comparison and the global financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2541-2562, May.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," Working Paper series 04_14, Rimini Centre for Economic Analysis.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," CEIS Research Paper 310, Tor Vergata University, CEIS, revised 18 Feb 2014.
• Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  • Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
  • Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
• Elie Bouri & Georges Azzi, 2014. "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 279-304, December.
• Maxime Bonelli & Daniel Mantilla-Garcia, 2014. "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences 0802327, International Institute of Social and Economic Sciences.
• Nils Wittmann & Eppinger Marcus, 2014. "Market Inefficiencies and Forecastability of Spot Rates in the Shipping Sector," Proceedings of International Academic Conferences 0900012, International Institute of Social and Economic Sciences.
• Lidan Grossmass, 2014. "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(III), pages 191-226, September.
• Rendón De la Torre, Stephanie, 2014. "Aplicación de análisis multifractal de exponentes de Hölder en mercados financieros mexicanos : índice accionario IPC y tipo de cambio USD/MXN / A Multifractal Analysis Application of Hölder Exponents," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(2), pages 191-208, julio-dic.
• A. Malliaris & Mary Malliaris, 2014. "N-tuple S&P patterns across decades, 1950–2011," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 339-353, June.
• Manuel Hernandez & Maximo Torero, 2014. "Parametric versus nonparametric methods in risk scoring: an application to microcredit," Empirical Economics, Springer, vol. 46(3), pages 1057-1079, May.
• Masato Ubukata & Toshiaki Watanabe, 2014. "Market variance risk premiums in Japan for asset predictability," Empirical Economics, Springer, vol. 47(1), pages 169-198, August.
• Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014. "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 163-176, December.
• Lyudmila G. Egorova, 2014. "Agent-Based Models of Stock Exchange: Analysis via Computational Simulation," Springer Optimization and Its Applications, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias (ed.), Network Models in Economics and Finance, edition 127, pages 147-158, Springer.
• Andrey KUDRYAVTSEV & Shosh SHAHRABANI & Aviad DIDI & Eyal GESUNDHEIT, 2014. "Differential Effects Of Target Price Releases On Stock Prices: Psychological Aspects," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(2), pages 153-166, December.
• Mei CAI & Zhonglin HUANG, 2014. "Analysis Of Non Performing Loan And Capital Adequacy Ratio Among Chinese Banks In The Postreform Period In China," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(2), pages 133-144, December.
• Andrey KUDRYAVTSEV & Shosh SHAHRABANI & Aviad DIDI & Eyal GESUNDHEIT, 2014. "Differential Effects Of Target Price Releases On Stock Prices: Psychological Aspects," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(2), pages 155-166, December.
• Markus Haavio & Caterina Mendicino & Maria Teresa Punzi, 2014. "Financial and economic downturns in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 21(6), pages 407-412, April.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, vol. 4(1), pages 1-19, March.
  • Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
• Elias Einiö, 2014. "R&D Subsidies and Company Performance: Evidence from Geographic Variation in Government Funding Based on the ERDF Population-Density Rule," The Review of Economics and Statistics, MIT Press, vol. 96(4), pages 710-728, October.
• Slavko Vukic & Danijel Knezevic, 2014. "The Impact Of Demographic Changes On The Pension System Financing Sustainability In The Federation Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 12(1), pages 43-54.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
  • Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
• Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
  • Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014. "Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting," Working Papers 201404, University of California at Riverside, Department of Economics.
• Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2015. "Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 393-402, July.
  • Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014. "Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints," Working Papers 201405, University of California at Riverside, Department of Economics.
• Tae-Hwy Lee & Huiyu Huang, 2014. "Forecasting Realized Volatility Using Subsample Averaging," Working Papers 201410, University of California at Riverside, Department of Economics.
• Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  • Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
• Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  • Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
• Anamaria CIOBANU, 2014. "Figures that Matter in Cash Flows Forecast," The Valuation Journal, The National Association of Authorized Romanian Valuers, vol. 9(1), pages 94-108.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  • Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
• LUPU, Radu & CALIN, Adrian Cantemir, 2014. "A Mixed Frequency Analysis Of Connections Between Macroeconomic Variables And Stock Markets In Central And Eastern Europe," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(2), pages 69-79.
• Mikhail Stolbov, 2014. "How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 331-348, June.
• Mikhail Stolbov, 2014. "How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 331-348.
• Miśkiewicz-Nawrocka Monika, 2014. "The Application of Random Noise Reduction By Nearest Neighbor Method To Forecasting of Economic Time Series," Folia Oeconomica Stetinensia, Sciendo, vol. 13(2), pages 96-108, July.
• Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies," Working Papers 2014-26, Faculty of Economic Sciences, University of Warsaw.
• Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
  • Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
• Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, January.
  • Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
• MÁrcio Poletti Laurini & Luiz Koodi Hotta, 2014. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 214-230, April.
  • Márcio Laurini & Luiz Koodi Hotta, 2011. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers 2011-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Marc S. Paolella, 2014. "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-32.
• Bi-Juan Chang & Jow-Ran Chang & Mao-Wei Hung, 2014. "Searching For Landmines In Equity Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-24.
• Marc S. Paolella, 2014. "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-32.
• Bi-Juan Chang & Jow-Ran Chang & Mao-Wei Hung, 2014. "Searching For Landmines In Equity Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-24.
• A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
• A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
• Steven Kou & Xianhua Peng, 2014. "Expected shortfall or median shortfall," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-6.
• Kablau, Anke & Weiß, Matthias, 2014. "Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?," Discussion Papers 27/2014, Deutsche Bundesbank.
• Kablau, Anke & Weiß, Matthias, 2014. "How is the low-interest-rate environment affecting the solvency of German life insurers?," Discussion Papers 27/2014e, Deutsche Bundesbank.
• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  • Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
• Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus, 2014. "Strategic coordination in forecasting: An experimental study," University of Göttingen Working Papers in Economics 195, University of Goettingen, Department of Economics.
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
• Roman Kräussl & Ronald Bosman & Thomas van Galen, 2014. "Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception," LSF Research Working Paper Series 14-11, Luxembourg School of Finance, University of Luxembourg.
  • Bosman, Ronald & Kräussl, Roman & van Galen, Thomas, 2014. "Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception," CFS Working Paper Series 495, Center for Financial Studies (CFS).
• Esref Savas BASCI & Fatih MEMIS, 2014. "A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 26-31, December.
  • Başçi, Eşref Savaş & Memiş, Fatih, 2014. "A Comparion of the Performances of Type A Mutual Funds Before and After 2008 Global Economic Crisis in Turkey," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1(1), pages 3-8.
• Kohn, Wolfgang, 2014. "Stop Waiting Problem: Decision Rule with Ψ function and Application with Share Prices," EconStor Preprints 93096, ZBW - Leibniz Information Centre for Economics.
• Kohn, Wolfgang, 2014. "Last Success Problem: Decision Rule and Application," EconStor Preprints 97215, ZBW - Leibniz Information Centre for Economics.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  • Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  • Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
• Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  • Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  • Žikeš, Filip & Baruník, Jozef, 2014. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers 20, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  • Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Elia Berdin & Helmut Gründl, 2015. "The Effects of a Low Interest Rate Environment on Life Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 40(3), pages 385-415, July.
  • Berdin, Elia & Gründl, Helmut, 2014. "The effects of a low interest rate environment on life insurers," ICIR Working Paper Series 15/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  • Berdin, Elia & Gründl, Helmut, 2015. "The effects of a low interest rate environment on life insurers," SAFE Working Paper Series 65, Leibniz Institute for Financial Research SAFE, revised 2015.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Elia Berdin & Helmut Gründl, 2015. "The Effects of a Low Interest Rate Environment on Life Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 40(3), pages 385-415, July.
  • Berdin, Elia & Gründl, Helmut, 2014. "The effects of a low interest rate environment on life insurers," ICIR Working Paper Series 15/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  • Berdin, Elia & Gründl, Helmut, 2015. "The effects of a low interest rate environment on life insurers," SAFE Working Paper Series 65, Leibniz Institute for Financial Research SAFE, revised 2015.
• Härdle, Wolfgang Karl & Mihoci, Andrija & Ting, Christopher Hian-Ann, 2014. "Adaptive order flow forecasting with multiplicative error models," SFB 649 Discussion Papers 2014-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Benschopa, Thijs & López Cabreraa, Brenda, 2014. "Volatility modelling of CO₂ emission allowance spot prices with regime-switching GARCH models," SFB 649 Discussion Papers 2014-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2013

• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  • Hui Jun Zhang & Jean-Marie Dufour & John W. Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
  • Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
  • Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
• Joseph Gyourko & Joseph Tracy, 2013. "Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund," NBER Working Papers 18880, National Bureau of Economic Research, Inc.
• Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
• Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2015. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," Management Science, INFORMS, vol. 61(9), pages 2220-2240, September.
  • Agarwal, Sumit & Ben-David, Itzhak & Yao, Vincent, 2012. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real-Estate Market," Working Paper Series 2012-29, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2013. "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," NBER Working Papers 19606, National Bureau of Economic Research, Inc.
• Frits Bos & Coen Teulings, 2013. "Short- and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): Science, witchcraft, or practical tool for policy?," OECD Journal on Budgeting, OECD Publishing, vol. 13(1), pages 45-56.
  • Bos, Frits & Teulings, Coen, 2013. "Short and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): science, witchcraft, or practical tool for policy?," MPRA Paper 57564, University Library of Munich, Germany.
• Droj Laurentiu & Droj Gabriela, 2013. "Sensitivity Assessment Modelling In European Funded Projects Proposed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 361-371, December.
• Droj Laurentiu, 2013. "Proposal Of A Common Scoring System For Selection Of Eu Funded Projects Developed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 372-381, December.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
• Ai Deng, 2014. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150.
  • Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150, December.
• Leandro Maciel, 2013. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 11, pages 253-283, Palgrave Macmillan.
  • Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Haim Kedar-Levy, 2013. "A Robust Valuation Model for Entrepreneurial Ventures," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 16(2), pages 57-74, Spring.
• Michael Hanias & Lykourgos Magafas & P. Konstantaki, 2013. "Non Linear Analysis Of S&P Index," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 8(4), pages 125-135, December.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
  • Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
  • Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
  • Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
  • Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
• Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
  • Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
• Yashkir, Olga & Yashkir, Yuriy, 2013. "Loss Given Default Modelling: Comparative Analysis," MPRA Paper 46147, University Library of Munich, Germany.
• Yashkir, Olga & Yashkir, Yuriy, 2013. "Monitoring of Credit Risk through the Cycle: Risk Indicators," MPRA Paper 46402, University Library of Munich, Germany.
• Matkovskyy, Roman, 2013. "To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey," MPRA Paper 47673, University Library of Munich, Germany.
• Keshab Bhattarai, 2015. "Financial deepening and economic growth," Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1133-1150, March.
  • Bhattarai, Keshab, 2013. "Financial Deepening and Economic Growth," MPRA Paper 48696, University Library of Munich, Germany.
• Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
  • Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
• Bunčák, Tomáš, 2013. "Jump Processes in Exchange Rates Modeling," MPRA Paper 49882, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
• Chowdhury, Tasnim & Datta, Rajib & Mohajan, Haradhan, 2013. "Green finance is essential for economic development and sustainability," MPRA Paper 51169, University Library of Munich, Germany, revised 09 Jun 2013.
• Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
• Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities," MPRA Paper 51741, University Library of Munich, Germany.
• Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," LSE Research Online Documents on Economics 54934, London School of Economics and Political Science, LSE Library.
  • Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
• Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
• Kogan, Anton, 2013. "Финансовая Инновация - Миф Или Реальность? [Financial innovation - myth or reality?]," MPRA Paper 52739, University Library of Munich, Germany.
• Sinha, Mukesh Kumar & Dhaka, J. P. & Mondal, B., 2013. "Analysing social attributes of loan default among small Indian Dairy farms: A discriminating approach," MPRA Paper 53362, University Library of Munich, Germany, revised 20 Jan 2014.
• Jarraya, Bilel & Bouri, Abdelfettah, 2013. "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper 53697, University Library of Munich, Germany, revised 2013.
• Bilel JARRAYA, 2013. "Asset Allocation And Portfolio Optimization Problems With Metaheuristics: A Literature Survey," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 3(4), pages 38-56, December.
  • Jarraya, Bilel, 2013. "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper 53698, University Library of Munich, Germany, revised 2013.
• Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013. "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper 54185, University Library of Munich, Germany, revised 15 Jul 2013.
• Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
• Liu, Xiaochun, 2013. "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper 55801, University Library of Munich, Germany.
• Arayssi, Mahmoud, 2013. "Price Drivers and Investment Strategies of Gold," MPRA Paper 56115, University Library of Munich, Germany.
• Frits Bos & Coen Teulings, 2013. "Short- and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): Science, witchcraft, or practical tool for policy?," OECD Journal on Budgeting, OECD Publishing, vol. 13(1), pages 45-56.
  • Bos, Frits & Teulings, Coen, 2013. "Short and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): science, witchcraft, or practical tool for policy?," MPRA Paper 57564, University Library of Munich, Germany.
• Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013. "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper 57673, University Library of Munich, Germany.
• Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
• Plastun, Alex & Plastun, Vyacheslav, 2013. "Force-majeure events and financial market’s behavior," MPRA Paper 58975, University Library of Munich, Germany.
• Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2013. "Liquidity Determinants of Moroccan Banking Industry," MPRA Paper 59888, University Library of Munich, Germany.
• Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
• Dhaoui, Elwardi, 2013. "What we have learnt from financial econometrics modeling?," MPRA Paper 63843, University Library of Munich, Germany.
• Stavros Degiannakis & Alexandra Livada, 2016. "Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 871-892, April.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper 67968, University Library of Munich, Germany.
• FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013. "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper 77322, University Library of Munich, Germany.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  • Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
• Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  • Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper 80445, University Library of Munich, Germany.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
• Jozef Barunik, 2013. "Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?," ACTA VSFS, University of Finance and Administration, vol. 7(1), pages 6-30.
• Peter Jurečka, 2013. "Strategy and Portfolio Management Aspects of Integrated Business Planning," Central European Business Review, Prague University of Economics and Business, vol. 2013(1), pages 28-34.
• Ewa Ratuszny, 2013. "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 35-63, March.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series 99, National Centre for Econometric Research.
• Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
• Margarita Debuque-Gonzales & Maria Socorro Gochoco-Bautista, 2013. "Financial Conditions Indexes for Asian Economies," ADB Economics Working Paper Series 333, Asian Development Bank.
• Yaroslav Bologov, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 45-66.
• Zoran Ivanovic & Sinisa Bogdan & Suzana Baresa, 2013. "Forecasting Croatian Stock Market Index: Crobex," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 4(2), pages 79-91.
• Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI, 2013. "Fractal Analysis of the Gold Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-163, October.
• Stefano Schiaffi, 2013. "The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data," Rivista di Politica Economica, SIPI Spa, issue 4, pages 141-169, October-D.
• Becchetti, Leonardo & Ciciretti, Rocco & Hasan, Iftekhar, 2015. "Corporate social responsibility, stakeholder risk, and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 297-309.
  • Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan, 2013. "Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility," CEIS Research Paper 285, Tor Vergata University, CEIS, revised 16 Dec 2013.
• Hyun Hak Kim & Norman Swanson, 2013. "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers 201316, Rutgers University, Department of Economics.
• De la Torre Torres, Oscar Valdemar, 2013. "Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán /Estimation of Alpha in Defined Benefit Pen," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 3(1), pages 39-72, enero-jun.
• Abderrazak Dhaoui & Saad Bourouis & Melek Acar Boyacioglu, 2013. "The Impact Of Investor Psychology On Stock Markets: Evidence From France," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 5(1 (June)), pages 35-59.
• Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
• Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 45(2), pages 665-673, October.
• Nico Singer & Saskia Laser & Frank Dreher, 2013. "Published stock recommendations as investor sentiment in the near-term stock market," Empirical Economics, Springer, vol. 45(3), pages 1233-1249, December.
• Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 253-273, April.
• Günter Franke, 2013. "Known Unknowns in Verbriefungen," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 1-34, January.
• Luca GRILLI & Angelo SFRECOLA, 2013. "Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(1), pages 44-51, April.
• Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
• Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, 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 47869, University Library of Munich, Germany.
• Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
• Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(2), pages 47-79, September.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
• Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  • David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • 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 782, Kyoto University, Institute of Economic Research.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
• Bert de Bruijn & Philip Hans Franses, 2013. "Forecasting Earnings Forecasts," Tinbergen Institute Discussion Papers 13-121/III, Tinbergen Institute.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  • Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  • Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
  • Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Magomet Yandiev & Alexander Pakhalov, 2013. "The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence," Papers 1309.5703, arXiv.org.
  • Magomet Yandiev & Alexander Pakhalov, 2013. "The relationship between stock market parameters and interbank lending market: an empirical evidence," Working Papers 0002, Moscow State University, Faculty of Economics.
• Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  • Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018. "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
  • Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Feb 2016.
• Weigert, Florian, 2013. "Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance, revised Nov 2015.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
• P. Barton DELACY & Eric M. ROSS, 2013. "Romania, the Next Frontier for Wind Power," The Valuation Journal, The National Association of Authorized Romanian Valuers, vol. 8(1), pages 60-61.
• Brian J. CURRY, 2013. "The Trouble with Rates in the Subdivision Development Method to Land Valuation," The Valuation Journal, The National Association of Authorized Romanian Valuers, vol. 8(2), pages 72-115.
• Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers 13-055/III, Tinbergen Institute, revised 16 Jan 2015.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers 2013:08, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
  • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Harman K. van Dijk, 2014. "Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox," Working Paper 2014/11, Norges Bank.
• Szymon Kamiński, 2013. "The pricing of options on WIG20 using GARCH models," Working Papers 2013-06, Faculty of Economic Sciences, University of Warsaw.
• Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • 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 757, Kyoto University, Institute of Economic Research.
  • 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 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Haavio, Markus & Mendicino, Caterina & Punzi, Maria Teresa, 2013. "Financial and economic downturns in OECD countries," Bank of Finland Research Discussion Papers 35/2013, Bank of Finland.
• Meub, Lukas & Proeger, Till & Bizer, Kilian, 2013. "Anchoring: A valid explanation for biased forecasts when rational predictions are easily accessible and well incentivized?," University of Göttingen Working Papers in Economics 166, University of Goettingen, Department of Economics.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08, University of Cologne, Centre for Financial Research (CFR).
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).
• Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW Kiel).
• Vilkovz, Grigory & Xiaox, Yan, 2013. "Option-implied information and predictability of extreme returns," SAFE Working Paper Series 5, Leibniz Institute for Financial Research SAFE.
• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  • Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013. "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers 2013-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
• Mária Bohdalová & Michal Greguš, 2013. "VaR BASED RISK MANAGEMENT," CBU International Conference Proceedings, ISE Research Institute, vol. 1(0), pages 25-33, June.
• Ivica Terzić & Marko Milojević, 2013. "Evaluating Measures Of Market Risk In Circumstances Of Global Financial Crisis – Empirical Evidence From Five Countries," CBU International Conference Proceedings, ISE Research Institute, vol. 1(0), pages 75-81, June.
• Mária Bohdalová & Michal Greguš, 2013. "COPULA BASED VaR APPROACH FOR EUROPEAN STOCKS PORTFOLIO," CBU International Conference Proceedings, ISE Research Institute, vol. 1(0), pages 9-18, June.
• Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
  • Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
  • Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013. "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers 2013-31, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
• Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, Department of Economics and Business Economics, Aarhus University.
• Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  • Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  • Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
• Aleksandra Gasior, 2013. "Financial liquidity analysis of CSR based Capital Group Zywiec SA," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 15(Special 7), pages 784-801, November.
• Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
  • Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
  • Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
  • Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
• Mădălina - Gabriela Anghel & Liliana (Dincă) Paschia, 2013. "Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(15), pages 1-19.
• Nevin Yoruk & S. Serdar Karaca & Mahmut Hekim & İsmail Tuna, 2013. "Examination of Relationship Between Stock Returns and Factors Affecting Capital Structure and Financial Ratios with ANFIS Method: An Application on ISE 100 Index," Anadolu University Journal of Social Sciences, Anadolu University, vol. 13(2), pages 101-114, June.
• João F. Caldeira, 2013. "Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(1b), pages 521-546.
• Rafael Cavalcanti de Araújo & Daniel Oliveira Cajueiro, 2013. "Combining term structure of interest rate forecasts: The Brazilian case," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(2), pages 102-121.
• Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  • Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  • Žikeš, Filip & Baruník, Jozef, 2014. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers 20, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
• Yuri Biondi & Simone Righi, 2013. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers 1312.7460, arXiv.org.
• Sonja Brlecic Valcic & Branka Crnkovic Stumpf, 2013. "The Need For Approaching The Value In Use And Fair Market Value Within A Modern Concept Of Business Valuation Process," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 22(2), pages 379-396, december.
• N'Sougan, Yao Djifa & Soumaré, Issouf, 2013. "Modelling sovereign default risk: comparing models and capturing the impact of the business cycle," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 6(1), pages 75-96, January.
• Emil Kalchev, 2013. "Problems and perspectives of fiscal sector in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 35-51,52-67.
• Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
• Ian Christensen & Fuchun Li, 2013. "A Semiparametric Early Warning Model of Financial Stress Events," Staff Working Papers 13-13, Bank of Canada.
• Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK, 2013. "The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(1), pages 103-136.
• Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 10695, Banco de la Republica.
  • Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 762, Banco de la Republica de Colombia.
• Juan Amador & José Gómez-González & Andrés Pabón, 2013. "Loan growth and bank risk: new evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 365-379, December.
  • Juan Sebastián Amador Torres & José Eduardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks´ Risk: New Evidence," Borradores de Economia 10710, Banco de la Republica.
  • Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia 763, Banco de la Republica de Colombia.
• Andrey Zotov, 2013. "Fictitious capitalization of banks: problems and possible solutions," Russian Journal of Money and Finance, Bank of Russia, vol. 734(18), pages 47-51.
• Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  • Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
  • Gary Koop & Lise Tole, 2011. "Forecasting the European Carbon Market," Working Papers 1110, University of Strathclyde Business School, Department of Economics.
• Markus Haavio & Caterina Mendicino & Maria Teresa Punzi, 2014. "Financial and economic downturns in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 21(6), pages 407-412, April.
  • Haavio, Markus & Mendicino, Caterina & Punzi, Maria Teresa, 2013. "Financial and economic downturns in OECD countries," Research Discussion Papers 35/2013, Bank of Finland.
• Evangelos C. Charalambakis, 2015. "On the Prediction of Corporate Financial Distress in the Light of the Financial Crisis: Empirical Evidence from Greek Listed Firms," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 22(3), pages 407-428, November.
  • Evangelos C. Charalambakis, 2013. "On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms," Working Papers 164, Bank of Greece.
• Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
• Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  • Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Cristina, GRADEA, 2013. "Alternative Models Of Financing Regional Development," Management Strategies Journal, Constantin Brancoveanu University, vol. 22(Special), pages 132-139.
• João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
• Alex Sandro Monteiro de Moraes & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle, 2013. "Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(4), pages 455-479.
• Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  • M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
• M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers) 954, Bank of Italy, Economic Research and International Relations Area.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Richard Guay & Laurence Allaire, 2013. "Long-Term Returns: a Reality Check for Pension Funds and Retirement Savers," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 395, December.
• Paul Brewer & Jaksa Cvitanic & Charles R. Plott, 2013. "Market microstructure design and flash crashes: A simulation approach," Journal of Applied Economics, Universidad del CEMA, vol. 16, pages 223-250, November.
• Iuliia Brushko, 2013. "Financial Signaling and Earnings Forecasts," CERGE-EI Working Papers wp498, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 721-750, Elsevier.
  • Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo.
• Víctor Manuel Molina Morejón & Lourdes J. García Hernández & Valeria Viridiana Salas Jaramillo, 2013. "Modelo de negocios de las Pyme: Un análisis de sus manejos financieros," Ravista Raites antes Panorama Administrativo Journal, Red de Investigación en Administración de la Innovación Tecnológica, Económica y Sustentable - Instituto Tecnológico de Celaya, Departamento de Ciencias Económico Administrativas, vol. 7(13), pages 69-82, Agosto-Di.
• Michel Fuksa & Didier Sornette, 2013. "The Sentiment of the Fed," Swiss Finance Institute Research Paper Series 13-01, Swiss Finance Institute.
• Michel Fuksa & Didier Sornette, 2013. "The Sentiment of the Fed," Swiss Finance Institute Research Paper Series 13-02, Swiss Finance Institute.
• Marc S. Paolella & Pawel Polak, 2013. "COMFORT: A Common Market Factor Non-Gaussian Returns Model," Swiss Finance Institute Research Paper Series 13-38, Swiss Finance Institute, revised Sep 2014.
• Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013. "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 13-45, Swiss Finance Institute.
• Didier Sornette & Peter Cauwels, 2013. "A Creepy World," Swiss Finance Institute Research Paper Series 13-55, Swiss Finance Institute, revised Feb 2014.
• Vladimir Filimonov & Didier Sornette, 2013. "Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data," Swiss Finance Institute Research Paper Series 13-60, Swiss Finance Institute.
• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  • Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Hui Jun Zhang & Jean-Marie Dufour & John W. Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
• João Bastos, 2014. "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(2), pages 177-193, October.
  • Joao A. Bastos, 2013. "Ensemble predictions of recovery rates," CEMAPRE Working Papers 1301, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• Ilie BANU & Sorin TERCHILĂ & Ioana-Mădălina BANU (BUTIUC), 2013. "Increasing Compliance Through Efficient Public Campaigns," Network Intelligence Studies, Romanian Foundation for Business Intelligence, Editorial Department, issue 1, pages 37-43, July.
• Santiago Medina Hurtado & Jorge Aníbal Restrepo Morales, 2013. "Estimación de la utilidad en riesgo de una empresa de transmisión de energía eléctrica considerando variables económicas," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 762, Banco de la Republica de Colombia.
  • Franz Alonso Hamann Salcedo & Rafael Hern�ndez & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 10695, Banco de la Republica.
• Juan Amador & José Gómez-González & Andrés Pabón, 2013. "Loan growth and bank risk: new evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 365-379, December.
  • Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia 763, Banco de la Republica de Colombia.
  • Juan Sebasti�n Amador Torres & Jos� Eduardo G�mez G. & Andr�s Murcia Pab�n, 2013. "Loans Growth and Banks� Risk: New Evidence," Borradores de Economia 10710, Banco de la Republica.
• Carlos Andrés Núnez Viveros & Gabriel Jos� Gallego Hidalgo & Guillermo Buenaventura Vera, 2013. "Diseno metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios: caso de cogeneración de energía en una empresa en Cali," Estudios Gerenciales, Universidad Icesi.
• Agnieszka Kapecka, 2013. "Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 107-126.
• Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(6), pages 1813-1845, December.
  • Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
• Mariana Rodica TIRLEA, 2013. "Financial Analysis, Budgeting, Decision and Control," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 47-52.
• Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2013. "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers 04, Development and Policies Research Center (DEPOCEN), Vietnam.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
• Beneish, Messod Daniel & Capkun, Vedran & Fridson, Martin S., 2013. "Defying Gravity: Costly Signaling to Mislead or to Inform?," HEC Research Papers Series 1024, HEC Paris.
• Esref Savas BASCI & S leyman Serdar KARACA, 2013. "The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 163-171.
• Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013. "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 87-98.
• Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
  • Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
  • Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
  • Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
  • Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
• Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
  • Ryuichi Yamamoto & Hideaki Hirata, "undated". "Strategy Switching in the Japanese Stock Market," Working Paper 164466, Harvard University OpenScholar.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
• Kumar, Dilip & Maheswaran, S., 2013. "Detecting sudden changes in volatility estimated from high, low and closing prices," Economic Modelling, Elsevier, vol. 31(C), pages 484-491.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  • Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 721-750, Elsevier.
  • Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  • Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012. "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," ERIM Report Series Research in Management ERS-2012-018-F&A, 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.
• Fujiwara, Ippei & Ichiue, Hibiki & Nakazono, Yoshiyuki & Shigemi, Yosuke, 2013. "Financial markets forecasts revisited: Are they rational, stubborn or jumpy?," Economics Letters, Elsevier, vol. 118(3), pages 526-530.
• Zhu, Xiaoneng, 2013. "Perpetual learning and stock return predictability," Economics Letters, Elsevier, vol. 121(1), pages 19-22.
• Nolan, John P. & Ojeda-Revah, Diana, 2013. "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 186-194.
• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  • Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
• Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
  • Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
• Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
• Miller, Thomas W. & Rapach, David E., 2013. "An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 10-23.
• Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
• Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  • Seong-Min Yoon & Sang Hoon Kang, 2012. "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012 3944, EcoMod.
• Date, Paresh & Mamon, Rogemar & Tenyakov, Anton, 2013. "Filtering and forecasting commodity futures prices under an HMM framework," Energy Economics, Elsevier, vol. 40(C), pages 1001-1013.
• Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
• Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
• Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013. "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 115-122.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  • Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
• Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
• Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2013. "Assessing the profitability of intraday opening range breakout strategies," Finance Research Letters, Elsevier, vol. 10(1), pages 27-33.
  • Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.
• Lin, Wen-Chun & Chang, Shao-Chi & Chen, Sheng-Syan & Liao, Tsai-Ling, 2013. "The over-optimism of financial analysts and the long-run performance of firms following private placements of equity," Finance Research Letters, Elsevier, vol. 10(2), pages 82-92.
• Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
• Tse, Yiuman & Wald, John K., 2013. "Insured uncovered interest parity," Finance Research Letters, Elsevier, vol. 10(4), pages 175-183.
• Jokivuolle, Esa & Virén, Matti, 2013. "Cyclical default and recovery in stress testing loan losses," Journal of Financial Stability, Elsevier, vol. 9(1), pages 139-149.
• Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
• Breitung, Jörg & Schmeling, Maik, 2013. "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
  • Breitung, Jörg & Schmeling, Maik, 2011. "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP) dp-485, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
  • Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: what gain for investors?," Working Papers fe_2013_02, Deakin University, Department of Economics.
• Henderson, Brian J. & Marks, Joseph M., 2013. "Predicting forecast errors through joint observation of earnings and revenue forecasts," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4265-4277.
• Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
• Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  • Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • 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 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
• Marquez, Jaime & Morse, Ari & Schlusche, Bernd, 2013. "The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5300-5315.
• Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
  • Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Forecasting metal prices: Do forecasters herd?," Discussion Papers 325, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Xu, Nianhang & Chan, Kam C. & Jiang, Xuanyu & Yi, Zhihong, 2013. "Do star analysts know more firm-specific information? Evidence from China," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 89-102.
• Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  • Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Chevapatrakul, Thanaset, 2013. "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2342-2353.
• Casalin, Fabrizio, 2013. "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3192-3203.
• Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
• Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
• Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro, 2013. "Corporate social responsibility and earnings forecasting unbiasedness," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3654-3668.
  • Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012. "Corporate Social Responsibility and Earnings Forecasting Unbiasedness," CEIS Research Paper 233, Tor Vergata University, CEIS, revised 08 Feb 2013.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2011. "A network model of financial system resilience," SFB 649 Discussion Papers 2011-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
• So, Eric C., 2013. "A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?," Journal of Financial Economics, Elsevier, vol. 108(3), pages 615-640.
• Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013. "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 719-738.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 784, Kyoto University, Institute of Economic Research.
  • 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 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • 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 782, Kyoto University, Institute of Economic Research.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
• Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
• Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
• Bartholdy, Jan & Feng, Tiyi, 2013. "The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 66-88.
• Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
• Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  • Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper 80445, University Library of Munich, Germany.
• Mondher bellalah & SYED ALAMDAR ALI & Omar Masood, 2013. "Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan: A Variable Replacement Approach Application with Con-integration," THEMA Working Papers 2013-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
  • Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, 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.
• Oscar De la Torre Torres., 2013. "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 39(2), pages 119-144, Julio-Dic.
• Dorin Jula & Nicolae-Marius Jula, 2013. "Organic Farming And The Greenhouse Gas Emissions," Working papers 01, Ecological University of Bucharest, Department of Economics.
• Antoniade Ciprian ALEXANDRU, 2013. "Studying The Volatility Of The Romanian Investment Funds With The Arch And Garch Models Using The "R" Software," Working papers 03, Ecological University of Bucharest, Department of Economics.
• Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
  • Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
  • Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
  • Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
• Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
• Allan M. Malz, 2013. "Risk-neutral systemic risk indicators," Staff Reports 607, Federal Reserve Bank of New York.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF, Faculty of Economics, University of Coimbra.
• Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF, Faculty of Economics, University of Coimbra.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
• Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Lund University, Knut Wicksell Centre for Financial Studies.
• Lundström, Christian, 2013. "Day trading returns across volatility states," Umeå Economic Studies 861, Umeå University, Department of Economics, revised 03 Mar 2017.
• Alexander Porshnev & Ilya Redkin & Alexey Shevchenko, 2013. "Improving prediction of stock market indices by analyzing the psychological states of twitter users," HSE Working papers WP BRP 22/FE/2013, National Research University Higher School of Economics.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  • Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Barbara ChoroÅ›-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin, 2013. "CDO Surfaces Dynamics," SFB 649 Discussion Papers SFB649DP2013-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Yvan Nezerwe, 2013. "Presidential Elections And Stock Returns In Egypt," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 4(2), pages 63-68.
• Iman Gunadi & Aditya Anta Taruna & Cicilia A. Harun, 2013. "Penggunaan Indeks Stabilitas Sistem Keuangan (ISSK) Dalam Pelaksanaan Surveilans Makroprudensial," Working Papers WP/15/2013, Bank Indonesia.
• Monica Giulietti & Luigi Grossi, 2013. "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers 2013/37, Institut d'Economia de Barcelona (IEB).
• Önder BÜBERKÖKÜ, 2013. "GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(330), pages 81-104.
• Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ, 2013. "A Stochastic Model for Natural Gas Consumption: An Application for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(332), pages 33-46.
• M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
• Jaime Casassus & Freddy Higuera, 2013. "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo 433, Instituto de Economia. Pontificia Universidad Católica de Chile..
• Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo, 2013. "From IMU to TASI: an estimate for Tuscany," Miscellanea 473, Istituto Regionale per la Programmazione Economica della Toscana.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
• Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 171-188, January.
• Christopher Edmonds & Ryan Leece & John Maher, 2013. "CEO bonus compensation: the effects of missing analysts’ revenue forecasts," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 149-170, July.
• Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
• Michael Lacina & Byung Ro, 2013. "Market implied future earnings and analysts’ forecasts," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 295-341, August.
• Shih-Cheng Lee & Chien-Ting Lin & Min-Teh Yu, 2013. "A fractional cointegration approach to testing the Ohlson accounting based valuation model," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 535-547, October.
• Eugen Nicolaescu, 2013. "The Statutory Audit and the Economic Governance Within the European Union," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(1), pages 15-19, March.
• Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy.
• Banu Simmons-Sueer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
• Aleksandras Vytautas Rutkauskas & Alina Kvietkauskienė, 2013. "Implementation of Multi-Objective Evaluation Method in Public Debt Risk Management," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 1(4), pages 21-35.
• Jáki, Erika, 2013. "A válság mint negatív információ és bizonytalansági tényező. A válság hatása az egy részvényre jutó nyereség-előrejelzésekre [The financial crisis as negative information and a factor of uncertaint," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1357-1369.
• Masahiko Egami & Yasuyuki Kato & Tomochika Sawaki, 2013. "An Analysis of CDS Market Liquidity by the Hawkes Process," Discussion papers e-13-001, Graduate School of Economics Project Center, Kyoto University.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton, 2013. "We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS," Larefi Working Papers 1304, Larefi, Université Bordeaux 4.

2012

• Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
• Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
• Kriszt, Katalin & Zakár, Tivadar, 2012. "A Vállalatok Pénzügyi Típusjelenségeinek Többváltozós Analízise," Acta Carolus Robertus, Karoly Robert University College, vol. 2(01), pages 1-10.
• Schmitz, Jochen & Ledebur, Oliver von, 2012. "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 123971, International Association of Agricultural Economists.
• Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Dumitru Ciobanu, 2012. "Predicting The Exchange Rate Eur-Leu With Svm," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(40), pages 151-158.
• Felicia Ramona Birău, 2012. "The Implications Of Liquidity Crises In The Context Of Emerging Capital Market," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(18), pages 189-193, April.
• Mihaela IONASCU, 2012. "Fair Value Measurements and Earnings Forecasts Accuracy: Evidence for Romanian Listed Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 11(4), pages 532-544, December.
• Gholamreza ZANDI & Alireza SHAHABI, 2012. "The Impact of Direct Benefits of Control on the Price Informative Value of Voluntary Information Disclosure: An Empirical Study of the Iranian Public Listed Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 11(4), pages 564-586, December.
• Veli Akel & Fikriye Karacameydan, 2012. "Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks," Anadolu University Journal of Social Sciences, Anadolu University, vol. 12(2), pages 87-106, June.
• ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012. "Are extreme returns priced in the stock market? European evidence," Working Papers 2012018, University of Antwerp, Faculty of Business and Economics.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  • Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  • Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Martín Grandes & Milagros Satorre, 2012. "¿Cuál es y cómo se caracteriza la demanda potencial de microcréditos en la Argentina? Nuevas estimaciones," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., vol. 1(6), pages 54-76, Octubre.
• Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
• Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
  • Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
• Emrah Ismail ÇEVIK & Nuket Kirci ÇEVIK & Serhan GURKAN, 2012. "Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(1), pages 133-155.
• Erdinç ALTAY & Burcay YASAR AKCALI, 2012. "The Analysis Of The Relation Between Investor Risk Appetite And Stock Market Crises In Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(1), pages 45-79.
• María J. Nieto, 2012. "What role, if any, can market discipline play in supporting macroprudential policy?," Occasional Papers 1202, Banco de España.
• Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 9441, Banco de la Republica.
  • Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
• Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
  • Melo-Velandia, Luis Fernando & Rincón-Castro, Hernán, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 4, pages 137-190, Banco de la Republica de Colombia.
  • Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(71), pages 1-35, June.
  • luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 9450, Banco de la Republica.
  • Luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 704, Banco de la Republica de Colombia.
• Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 9511, Banco de la Republica.
  • Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 705, Banco de la Republica de Colombia.
• Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
  • Simon Dubecq & Christian Gourieroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
• Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  • Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
• Andrey Zotov, 2012. "Approaches to forecasting the financial stability of a credit institution," Russian Journal of Money and Finance, Bank of Russia, vol. 8(7), pages 43-48.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
• Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
  • Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2011. "A network model of financial system resilience," SFB 649 Discussion Papers 2011-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland, Institute for Economies in Transition.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Leandro Maciel, 2013. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 11, pages 253-283, Palgrave Macmillan.
  • Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
• Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  • Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
• Allen, D. & Lizieri, C. & Satchell, S., 2012. "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics 1244, Faculty of Economics, University of Cambridge.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, . "Modeling conditional correlations for risk diversification in crude oil markets," Journal of Energy Markets, Journal of Energy Markets.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
• 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, vol. 81(7), pages 1482-1490.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 723, Kyoto University, Institute of Economic Research.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
• Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne, 2012. "To buy or not to buy? The value of contradictory analyst signals," Cologne Graduate School Working Paper Series 03-03, Cologne Graduate School in Management, Economics and Social Sciences.
• Rattana Charussaengsuriya & Tawewan Tharnpipat, 2012. "Technical analysis of stock prices using Elliot wave theory and Fibonacci number," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(1), pages 91-102, March.
• Hausenblas, Václav & Kubicová, Ivana & Lešanovská, Jitka, 2015. "Contagion risk in the Czech financial system: A network analysis and simulation approach," Economic Systems, Elsevier, vol. 39(1), pages 156-180.
  • Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska, 2012. "Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach," Working Papers 2012/14, Czech National Bank, Research and Statistics Department.
• Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Daiver Cardona Salgado, 2012. "Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
  • Carlos L�on, 2012. "Estimating financial institutions� intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 9441, Banco de la Republica.
• Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
  • Melo-Velandia, Luis Fernando & Rincón-Castro, Hernán, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 4, pages 137-190, Banco de la Republica de Colombia.
  • Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(71), pages 1-35, June.
  • Luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 704, Banco de la Republica de Colombia.
  • luis Fernando Melo & Hern�n Rinc�n, 2012. "Choques externos y precios de los activos en Latinoam�rica antes y despu�s de la quiebra de Lehman Brothers," Borradores de Economia 9450, Banco de la Republica.
• Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 705, Banco de la Republica de Colombia.
  • Luis Fernando Melo & Rub�n Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 9511, Banco de la Republica.
• Rogelio Maldonado Castano & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," Documentos de Trabajo de Valor Público 10631, Universidad EAFIT.
• Simon Dubecq & Christian Gourieroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
  • Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
  • Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.
• Krenar Avdulaj, 2012. "The Extreme Value Theory and Copulas as a Tool to Measure Market Risk," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).
• Daniel Kapp, 2012. "The optimal size of the European Stability Mechanism: A cost-benefit analysis," DNB Working Papers 349, Netherlands Central Bank, Research Department.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Development Economics Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Finance Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Governance Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Microeconomics Working Papers 23296, East Asian Bureau of Economic Research.
• Pierre Rostan & Alexandra Rostan, 2012. "Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall," International Review of Management and Marketing, Econjournals, vol. 2(1), pages 59-74.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
  • 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 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  • 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-F-689, CIRJE, Faculty of Economics, University of Tokyo.
  • 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-F-782, CIRJE, Faculty of Economics, University of Tokyo.
• Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
  • Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," SFB 649 Discussion Papers 2009-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
• Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
• Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
• Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
• Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012. "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, vol. 116(1), pages 72-74.
• Pierdzioch, Christian & Rülke, Jan-Christoph, 2012. "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, vol. 116(3), pages 326-329.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  • Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
• West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  • Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
  • Carmona, Julio & León, Angel & Vaello-Sebastiá, Antoni, 2011. "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers 11-2, University of Alicante, D. Quantitative Methods and Economic Theory, revised 16 Jan 2012.
• Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  • Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
• Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
• McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • 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 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • 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 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • 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-00507831, HAL.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  • Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
  • Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
• Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
• Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello, 2012. "On the dependence structure of realized volatilities," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 1-9.
• Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
• LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
  • Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Business School.
• Smith, Geoffrey Peter, 2012. "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, vol. 9(2), pages 103-110.
• Dzielinski, Michal, 2012. "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, vol. 9(3), pages 167-175.
• Fernández-Avilés, Gema & Montero, Jose-María & Orlov, Alexei G., 2012. "Spatial modeling of stock market comovements," Finance Research Letters, Elsevier, vol. 9(4), pages 202-212.
• Simonato, Jean-Guy, 2012. "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, vol. 9(4), pages 213-219.
• Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
  • Taylor, Alan M. & Jordà , Ã’scar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
  • Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
• Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
• Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
• Johnston, Rick & Leone, Andrew J. & Ramnath, Sundaresh & Yang, Ya-wen, 2012. "14-Week quarters," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 271-289.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2974-2987.
• Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
• Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
• Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
• Lobo, Gerald J. & Song, Minsup & Stanford, Mary, 2012. "Accruals quality and analyst coverage," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 497-508.
• Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
  • Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  • José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84, Bank for International Settlements.
• Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
  • Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
• LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
  • Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Business School, revised Dec 2010.
• Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
  • Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009. "Global, local, and contagious investor sentiment," Globalization Institute Working Papers 37, Federal Reserve Bank of Dallas.
• Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  • Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
  • Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
• Malliaris, M.E., 2012. "Comparison Of Currency Movement Before And After October 2008," The Journal of Economic Asymmetries, Elsevier, vol. 9(2), pages 45-57.
• Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
  • Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper 15670, University Library of Munich, Germany.
• Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
• Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  • Seong-Min Yoon & Sang Hoon Kang, 2012. "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012 3944, EcoMod.
• Pincheira, Pablo & García, Álvaro, 2012. "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(313), pages 85-123, enero-mar.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  • Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012. "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," ERIM Report Series Research in Management ERS-2012-018-F&A, 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.
• Alessandro Cardinali, 2012. "An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors," International Econometric Review (IER), Econometric Research Association, vol. 4(1), pages 1-16, April.
• Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
• Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
• 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 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
• Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
• Erik Lindström & Fredric Regland, 2012. "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 180-196, May.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
  • André Ventura & Marcio Gomes Pinto Garcia, 2009. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão 563, Department of Economics PUC-Rio (Brazil).
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?," IMES Discussion Paper Series 12-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
  • Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization Institute Working Papers 106, Federal Reserve Bank of Dallas.
• Natalya N. Kaurova, 2012. "Macroprudential Regulation of Financial Markets," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 5-18, January.
• Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
• Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01380666, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
• Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694449, HAL.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
• Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
  • Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • 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 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
  • 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 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • 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-00507831, HAL.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2013. "Assessing the profitability of intraday opening range breakout strategies," Finance Research Letters, Elsevier, vol. 10(1), pages 27-33.
  • Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.
• Lönnbark, Carl, 2012. "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies 848, Umeå University, Department of Economics.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
• 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 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
• Ralf Sabiwalsky, 2012. "Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?," SFB 649 Discussion Papers SFB649DP2012-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Ruihong Huang, 2012. "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements," SFB 649 Discussion Papers SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015. "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
  • Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2012. "Local Adaptive Multiplicative Error Models for High-Frequency Forecasts," SFB 649 Discussion Papers SFB649DP2012-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Matthias Ritter, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers SFB649DP2012-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Logica Banica & Daniela Pirvu & Alina Hagiu, 2012. "Intelligent Financial Forecasting, The key for a Successful Management," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pages 192-206, July.
• Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 75-81.
• Peng He, 2012. "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(5), pages 65-72.
• Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 25-34.
• Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen, 2012. "Why Do Banks Default When Asset Quality Is High?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 83-96.
• Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez, 2012. "Indicator Of Financial Health Proposal And Its Impact On Probability Of Default, Propuesta De Un Indicador De Salud Financiera Y Su Efecto En La Prediccion Del Fracaso Empresarial," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 5(3), pages 19-40.
• Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  • Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
  • Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
• Rodrigo Alfaro & Natalia Gallardo, 2012. "The Determinants of Household Debt Default," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 27(1), pages 55-70, April.
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization Institute Working Papers 106, Federal Reserve Bank of Dallas.
  • Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?," IMES Discussion Paper Series 12-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
• Thomas Theobald, 2015. "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 780-820, October.
  • Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
• Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012. "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-010, Indira Gandhi Institute of Development Research, Mumbai, India.
• Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
• Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
  • Jules Sadefo-Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print hal-02901914, HAL.
• Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
• Phillip Simmons, 2012. "Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 377-385, December.
• Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, vol. 45(3), pages 135-155, August.
• Alexander Kerl & Oscar Stolper & Andreas Walter, 2012. "Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 217-246, June.
• Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012. "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 405-428, December.
• Rebel Cole & Lawrence White, 2012. "Déjà Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 5-29, October.
  • Rebel A. Cole & Lawrence J. White, 2010. "Deja Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around," Working Papers 10-15, New York University, Leonard N. Stern School of Business, Department of Economics.
  • Cole, Rebel A. & White, Lawrence J., 2010. "Déjà vu all over again: The causes of U.S. commercial bank failures this time around," MPRA Paper 24690, University Library of Munich, Germany, revised 28 Jul 2010.
• Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
• Florence Guillaume & Wim Schoutens, 2012. "Calibration risk: Illustrating the impact of calibration risk under the Heston model," Review of Derivatives Research, Springer, vol. 15(1), pages 57-79, April.
• Beixin Lin & Rong Yang, 2012. "Does Regulation Fair Disclosure affect analysts’ forecast performance? The case of restructuring firms," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 495-517, May.
• Marcus Wolter & Daniel Rösch, 2012. "Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen," Credit and Capital Markets, Credit and Capital Markets, vol. 45(2), pages 189-217.
• Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "Prognosen von Metallpreisen: Asymmetrische Verlustfunktionen und Rationalität," Credit and Capital Markets, Credit and Capital Markets, vol. 45(3), pages 407-440.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
• Kiyani, Mohammad Fereydoun & Mahfoozian, Mehri, 2012. "Evaluation of the Efficiency of Different Methods in Designing Credit Scoring Models (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 5(13), pages 95-120, December.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne 12025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Christian Brown & Fred Abraham, 2012. "Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight, Missouri Valley Economic Association, vol. 38(1), pages 59-72.
• Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Jakub Muck & Pawel Skrzypczynski, 2012. "Can we beat the random walk in forecasting CEE exchange rates?," NBP Working Papers 127, Narodowy Bank Polski.
• Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
  • John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.
• West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  • Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
• Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  • Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  • Charles Engel & Nelson C. Mark & Kenneth D. West, 2012. "Factor Model Forecasts of Exchange Rates," NBER Working Papers 18382, National Bureau of Economic Research, Inc.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
• Droj Laurentiu & Droj Gabriela, 2012. "Usage Of Acb-Minind Software In The Cba Analysis For Financing Investment Projects Through European Funding In Correlation With The Financing From The Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 551-556, December.
• Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012. "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 635-640, December.
• Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  • Ljungqvist, Alexander & Kelly, Bryan, 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
• Din Alina-Valentina & Diaconu Mihaela, 2012. "Opportunities for Using Alternative Energy Resources and Models for Estimating the Fair Value of a Green Energy System," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 324-329, May.
• Adrian Lupaºc & Ioana Lupaºc & Cristina Gabriela Zamfir, 2012. "Impact of Intelligent Modern Technologies in Business," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 580-585, May.
• Dãnãnãu Cristian-Florin & Alexandru Ciprian-Antoniade, 2012. "Credit Market as a “Mirror” of the Economic System: A Disequilibrium Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(3), pages 1-64, Decembre.
• Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 37(103), pages 13-28, Abril.
  • Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
• Dumitru Ciobanu, 2012. "The Horizon of Prediction for Exchange Rate Eur-Leu," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(2), pages 85-92.
• Syeda Rabab Mudakkar & Jamshed Y. Uppal, 2012. "Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 51(4), pages 399-417.
• Lúcio Godeiro, Lucas, 2012. "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carl," MPRA Paper 45146, University Library of Munich, Germany.
• Diamondopoulos, John, 2012. "To what extent are financial crises comparable and thus predictable?," MPRA Paper 45668, University Library of Munich, Germany.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2012. "Incentive-Compatible Sukuk Musharakah for Private Sector Funding," MPRA Paper 46009, University Library of Munich, Germany.
• Abounoori, Abbas Ali & Mohammadali, Hanieh & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "Comparative study of static and dynamic neural network models for nonlinear time series forecasting," MPRA Paper 46466, University Library of Munich, Germany.
• Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012. "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica [Opposite strategy and liquidity effect: an econometric analysis]," MPRA Paper 48104, University Library of Munich, Germany.
• Muntean, Mihaela & Muntean, Cornelia, 2012. "Evaluating A Business Intelligence Solution. Feasibility Analysis Based On Monte Carlo Method," MPRA Paper 48478, University Library of Munich, Germany, revised 28 May 2013.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
• Bławat, Bogusław, 2012. "High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination," MPRA Paper 49120, University Library of Munich, Germany.
• Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.
• Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
• Buła, Rafał, 2012. "Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali [Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals ," MPRA Paper 59710, University Library of Munich, Germany.
• Buła, Rafał, 2012. "Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych [Methodical aspects of estimating fractal dimension of financial time series]," MPRA Paper 59711, University Library of Munich, Germany.
• Johansson, Bo, 2012. "A note on approximating bond returns allowing for both yield change and time passage," MPRA Paper 92607, University Library of Munich, Germany.
• Petra Buzková & Petr Teplý, 2012. "Collateralized Debt Obligations' Valuation Using the One Factor Gaussian Copula Model," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(1), pages 30-49.
• Milan Šimáček, 2012. "Indexy finančního stresu pro Českou republiku a Maďarsko [Financial Stress Indexes for the Czech Republic and Hungary]," Politická ekonomie, Prague University of Economics and Business, vol. 2012(5), pages 614-634.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
  • 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 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  • 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 09-107/4, Tinbergen Institute.
• Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
• Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 37(103), pages 13-28, Abril.
  • Kapp, Daniel & Vega, Marco, 2012. "Real output costs of financial crises: a loss distribution approach," MPRA Paper 35706, University Library of Munich, Germany.
  • Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, University of Reading.
• Carol Alexander & Daniel Ledermann, 2012. "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance icma-dp2012-09, Henley Business School, University of Reading.
• Piotr Szymański, 2012. "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 137-162, June.
• Piotr Szymański, 2012. "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 153-178, June.
• Alexandru Constantinescu, 2012. "The business cycles and the influence of economic confidence indicators in the European region," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 201-224, June.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
• Elvina Frolova & Dean Fantazzini, 2012. "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 3-24.
• Anton Semushin & Petr Parshakov, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 95-114.
• Vladimir Habrov, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 35-62.
• Luís Gomes & Vasco Soares, 2012. "Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional," Working Papers 23/2012, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
• Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas, 2012. "Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate," DUTH Research Papers in Economics 5-2012, Democritus University of Thrace, Department of Economics.
• Rocco Ciciretti & Raffaele Corvino, 2012. "How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk," Journal of Financial Transformation, Capco Institute, vol. 34, pages 195-210.
  • Rocco Ciciretti & Raffaele Corvino, 2011. "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper 204, Tor Vergata University, CEIS, revised 04 Jul 2011.
• Siwei Gao & Michael R. Powers & Zaneta A. Chapman, 2012. "A risk-based risk finance paradigm," Journal of Financial Transformation, Capco Institute, vol. 35, pages 173-178.
• Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
• Matthew C. Chang & Jui-Cheng Hung, 2012. "Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 147-162, December.
• Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.
• Mirela GHEORGHE, 2012. "Techniques and Simulation Models in Risk Management," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 354-362, December.
• V. I. Tinyakova, 2012. "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 247-255, Decembre.
• Georgeta VINTILA & Georgia Maria TOROAPA, 2012. "Forecasting the Bankruptcy Risk on the Example of Romanian Enterprises," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 377-388, May.
• Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Georgeta BARDASU, 2012. "CAPM Evaluating Relation," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 147-154, November.
• Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Gheorghe LEPADATU, 2012. "Models for Evaluating the Company on FCFE and FCFF basis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 80-86, November.
• Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro, 2013. "Corporate social responsibility and earnings forecasting unbiasedness," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3654-3668.
  • Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012. "Corporate Social Responsibility and Earnings Forecasting Unbiasedness," CEIS Research Paper 233, Tor Vergata University, CEIS, revised 08 Feb 2013.
• Mohamed Z. M. Aazim & N. S. Cooray, 2012. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , vol. 1(1), pages 25-56, June.
• Ortíz Arango, Francsco & Cabrera Llanos, Agustín I. & Cruz Aranda, Fernando, 2012. "Modelado del comportamiento del tipo de cambio peso-dólar mediante redes neuronales diferenciales / Peso-Dollar Exchange Rate Behavior Modelling by means of Differential Neural Networks," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 2(1), pages 49-64, enero-jun.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
• Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
• Klaus Schredelseker, 2012. "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, vol. 64(8), pages 833-845, December.
• Bernhard Pellens & Kai Lehmann, 2012. "Managementprognosen und Analystenschätzungen — Eine deskriptive Analyse auf Basis der HDAX-Unternehmen," Schmalenbach Journal of Business Research, Springer, vol. 64(8), pages 873-892, December.
• Andrey KUDRYAVTSEV, 2012. "Under-Reaction Of S&P 500 Implied Volatility To Relevant Information," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(4), pages 401-409, December.
• Malgorzata Sulimierska, 2012. "After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?," Working Paper Series 5112, Department of Economics, University of Sussex Business School.
• Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
• Bert de Bruijn & Philip Hans Franses, 2012. "What drives the Quotes of Earnings Forecasters?," Tinbergen Institute Discussion Papers 12-067/4, Tinbergen Institute.
• Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
  • Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012. "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012. "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers 0001, Moscow State University, Faculty of Economics.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • 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 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
• Süleyman Serdar KARACA & Arif SAVSAR, 2012. "The Effect Of Financial Ratios On The Firm Value: Evidence From Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(1(19)/ Sp), pages 56-63.
• Süleyman Serdar KARACA & Hatice Neriman BAÅžDEMÄ°R, 2012. "The Applicability Of Artificial Neural Network Method Upon Prediction Of Rate Of Stock Return: Example Of 2008 Financial Crisis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 131-139.
• Cho JOONG-SEOK, 2012. "The Effect Of Accruals On Security Analysts’ Target Price Forecast Performance," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 228-234.
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  • Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  • Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
• Steven Lim, 2012. "Estimating the Final Size of an Online User Base," Working Papers in Economics 12/15, University of Waikato.
• Piotr Arendarski, 2012. "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers 2012-01, Faculty of Economic Sciences, University of Warsaw.
• Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
• Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  • Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
• Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  • Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
• Silvia Centanni & Marco Minozzo, 2012. "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-22.
  • Silvia Centanni & Marco Minozzo, 2010. "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers 22/2010, University of Verona, Department of Economics.
• Silvia Centanni & Marco Minozzo, 2012. "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-22.
  • Silvia Centanni & Marco Minozzo, 2010. "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers 22/2010, University of Verona, Department of Economics.
• Chia Chiang Tan, 2012. "Market Practice in Financial Modelling," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8257, February.
• William T Ziemba, 2012. "Calendar Anomalies and Arbitrage," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8467.
• Diana DEZSI & Emil SCARLAT, 2012. "A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 5(17), pages 23-32.
• Marianna BOTIKA, 2012. "Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 5(17), pages 96-118.
• Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
• Gribisch, Bastian, 2012. "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers 2012-14, Christian-Albrechts-University of Kiel, Department of Economics.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," SFB 649 Discussion Papers 2012-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
• Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
  • Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Forecasting metal prices: Do forecasters herd?," Discussion Papers 325, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Singer, Nico & Dreher, Frank & Laser, Saskia, 2012. "Published stock recommendations as institutional investor sentiment in the near-term stock market," Thuenen-Series of Applied Economic Theory 121, University of Rostock, Institute of Economics.
• Sabiwalsky, Ralf, 2012. "Does Basel II pillar 3 risk exposure data help to identify risky banks?," SFB 649 Discussion Papers 2012-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
  • Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," SFB 649 Discussion Papers 2012-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015. "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
  • Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers 2012-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012. "Implied basket correlation dynamics," SFB 649 Discussion Papers 2012-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Ritter, Matthias, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers 2012-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.

2011

• Silvia Muzzioli & Bernard De Baets, 2011. "Assessing the information content of option-based volatility forecasts using fuzzy regression methods," Department of Economics 0669, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
• 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, vol. 2(2), pages 151-167, March.
  • Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011. "Forecasting the Polish zloty with non-linear models," NBP Working Papers 81, Narodowy Bank Polski.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
  • Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
• Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.
  • Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers 17152, National Bureau of Economic Research, Inc.
• Stephen A. Ross, 2011. "The Recovery Theorem," NBER Working Papers 17323, National Bureau of Economic Research, Inc.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
  • 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 17334, National Bureau of Economic Research, Inc.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
  • Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
  • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
• Tatom, John, 2011. "Predicting failure in the commercial banking industry," MPRA Paper 34608, University Library of Munich, Germany.
  • John A. Tatom & Reza Houston, 2011. "Predicting Failure in the Commercial Banking Industry," NFI Working Papers 2011-WP-27, Indiana State University, Scott College of Business, Networks Financial Institute.
• 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, vol. 1(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, vol. 1(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, vol. 1(1), pages 515-523, July.
• Carlo A. Favero & Andrea Tamoni, 2011. "Demographics and US Stock Market Fluctuations ," CESifo Economic Studies, CESifo Group, vol. 57(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, vol. 0(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, vol. 0(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, vol. 0(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, vol. 0(2), pages 728-733, May.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • 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 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• 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, vol. 6(8), pages 1-9, August.
  • Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Swiss Finance Institute Research Paper Series 11-05, Swiss Finance Institute.
  • Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
• 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, vol. 6(9), pages 1-9, September.
  • Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE, 2011. "Investment strategies used as spectroscopy of financial markets reveal new stylized facts," Swiss Finance Institute Research Paper Series 11-30, Swiss Finance Institute.
• Benjamin Kauper & Karl-Kuno Kunze, 2011. "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge 49, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
• Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, 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 47869, University Library of Munich, Germany.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2011. "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper 48517, University Library of Munich, Germany.
• Konchitchki, Yaniv, 2011. "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper 52928, University Library of Munich, Germany.
• Radkov, Petar & Minkova, Leda, 2011. "Assessing bank's default probability using the ASRF model," MPRA Paper 60186, University Library of Munich, Germany.
• 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," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2011(2), pages 37-57.
• Boril Šopov & Jakub Seidler, 2011. "Yield Curve Dynamics: Regional Common Factor Model," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 140-156.
  • Boril Šopov & Jakub Seidler, 2010. "Yield Curve Dynamics: Regional Common Factor Model," Working Papers IES 2010/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2010.
• 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, vol. 2011(3), pages 232-249.
• 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, vol. 3(4), pages 237-259, December.
• Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011. "Forecasting Equicorrelation," NCER Working Paper Series 72, National Centre for Econometric Research, revised 29 Aug 2011.
• Adam E Clements & Annastiina Silvennoinen, 2011. "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series 76, National Centre for Econometric Research.
• 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 icma-dp2011-03, Henley Business School, University of Reading.
• Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
• Álvaro Montenegro, 2011. "Información y entropía en economía," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 13(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, vol. 29(1), pages 9-31.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
• Jianxin Wamg, 2011. "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, vol. 28(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, vol. 15(3), pages 49-83.
• Ronald Ryan & Frank Fabozzi, 2011. "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, vol. 33, pages 29-33.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
  • Julio Carmona & Angel Le√Ìn & Antoni Vaello-Sebasti√Å, 2011. "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers 11-2, University of Alicante, D. Quantitative Methods and Economic Theory.
• 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, vol. 0(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, vol. 0(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, vol. 0(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.
• Ciciretti, Rocco & Corvino, Raffaele, 2012. "How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk," Journal of Financial Transformation, Capco Institute, vol. 34, pages 195-210.
  • Rocco Ciciretti & Raffaele Corvino, 2011. "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper 204, Tor Vergata University, CEIS, 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, vol. 3(3 (Novemb), pages 292-299.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  • 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 2010-008, Federal Reserve Bank of St. Louis.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • 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 0136, Dipartimento di Scienze Economiche "Marco Fanno".
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
• Mustapha DJENNAS & Mohamed BENBOUZIANE & Meriem DJENNAS, 2011. "An Approach Of Combining Empirical Mode Decomposition And Neural Network Learning For Currency Crisis Forecasting," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(2), pages 170-184, December.
  • Mustapha Djennas & Mohamed Benbouziane & Meriem Djennas, 2011. "An Approach of Combining Empirical Mode Decomposition and Neural Network Learning for Currency Crisis Forecasting," Working Papers 627, Economic Research Forum, revised 09 Jan 2011.
• Tripathy NALINIPRAVA, 2011. "Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 62-75, June.
• Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  • Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
  • Gary Koop & Lise Tole, 2011. "Forecasting the European Carbon Market," Working Papers 1110, University of Strathclyde Business School, Department of Economics.
• 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, vol. 17(3), pages 227-241, January.
  • Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
• Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
  • 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 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  • 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-F-782, CIRJE, Faculty of Economics, University of Tokyo.
  • 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-F-689, CIRJE, Faculty of Economics, University of Tokyo.
• O'Connor, Thomas & Kinsella, Stephen & O'Sullivan, Vincent, 2014. "Legal protection of investors, corporate governance, and investable premia in emerging markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 426-439.
  • Stephen Kinsella & Thomas O'Connor & Vincent O'Sullivan, 2011. "Legal protection of investors, corporate governance, and investable premia in emerging markets," Working Papers 201117, Geary Institute, University College Dublin.
  • Thomas O'Connor & Stephen Kinsella & Vincent O’Sullivan, 2012. "Legal protection of investors, corporate governance, and investable premia in emerging markets," Economics Department Working Paper Series n229-12.pdf, Department of Economics, National University of Ireland - Maynooth.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • 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 EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 757, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • 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 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 761, Kyoto University, Institute of Economic Research.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• 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 759, Kyoto University, Institute of Economic Research.
  • 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 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
  • 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 782, Kyoto University, Institute of Economic Research.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • 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 784, Kyoto University, Institute of Economic Research.
  • 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 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357-388.
  • Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387, National Bureau of Economic Research, Inc.
  • Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  • Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
• 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, vol. 6(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", vol. 15(1), pages 242-257.
• Michał Krawczyk, 2011. "Overconfident for real? Proper scoring for confidence intervals," Working Papers 2011-15, Faculty of Economic Sciences, University of Warsaw.
• 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., vol. 28(02), pages 32-57, December.
• 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., vol. 6(01), pages 1-20.
• 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., vol. 6(01), pages 1-20.
• Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
• Mayer, Klaus & Schmid, Thomas & Weber, Florian, 2011. "Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility," CEFS Working Paper Series 2011-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
• Hess, Dieter & Kreutzmann, Daniel & Pucker, Oliver, 2011. "Projected earnings accuracy and the profitability of stock recommendations," CFR Working Papers 10-17 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10, University of Cologne, Centre for Financial Research (CFR).
• Hess, Dieter & Orbe, Sebastian, 2011. "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers 11-13, University of Cologne, Centre for Financial Research (CFR).
• Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics 18, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can internet search queries help to predict stock market volatility?," CFR Working Papers 11-15, University of Cologne, Centre for Financial Research (CFR).
• Entorf, Horst & Knoll, Christian & Sattarova, Liliya, 2011. "Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey," CFS Working Paper Series 2010/18, Center for Financial Studies (CFS).
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
• Kyritsis, Kostas & Chytis, Evangelos & Karamanis, Kostas, 2011. "Fighting the Financial Crisis with Alternative Forms of Energy in the Household Economics," EconStor Conference Papers 125774, ZBW - Leibniz Information Centre for Economics.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  • Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2011. "A network model of financial system resilience," SFB 649 Discussion Papers 2011-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• 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 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  • Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can internet search queries help to predict stock market volatility?," CFR Working Papers 11-15, University of Cologne, Centre for Financial Research (CFR).
  • Dimpfl, Thomas & Jank, Stephan, 2011. "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics 18, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," Discussion Papers in Econometrics and Statistics 3/11, University of Cologne, Institute of Econometrics and Statistics.
• Christian Bach & Bent Jesper Christensen, 2011. "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers 2010-61, Department of Economics and Business Economics, Aarhus University.
• Manuel Lukas, 2011. "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers 2011-42, Department of Economics and Business Economics, Aarhus University.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011. "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2011-44, Department of Economics and Business Economics, Aarhus University.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  • Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  • Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
• John Mwamba, 2011. "Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach," The African Finance Journal, Africagrowth Institute, vol. 13(1), pages 14-27.
• Prof. univ. Constantinescu Dumitru Ph. D & George Dorin Petcu Ph. D Student, 2011. "Developing A And Monitoring Of The Risk Response Strategies In Project Finance," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(39), pages 156-166, May.
• Assoc. Prof. Dalia Simion Ph. D, Assoc. Prof. Elena Tob Ph. D, Asist. Sabin Armelu Ph. D Student, 2011. "Romanian Companies Increasing Performance Under The Influence Of Theier Capitalization Stock," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 4(39), pages 81-88, May.
• Felicia Ramona Birau, 2011. "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(39), pages 194-205.
• Florentina Simona Fãurescu & Oana Adriana Du?ã, 2011. "Evaluation Of Management Performance By Means Of Income Statements And Cash Flow," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 19-26, April.
• Mihaela IONASCU, 2011. "Properties of Analysts’ Forecasts for Romanian Listed Companies: How Much Do Firm-Specific Factors Matter?," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 10(3), pages 318-325, September.
• Javier DE ANDRES & Fernando SÁNCHEZ-LASHERAS & Pedro LORCA & Francisco Javier DE COS JUEZ, 2011. "A Hybrid Device of Self Organizing Maps (SOM) and Multivariate Adaptive Regression Splines (MARS) for the Forecasting of Firms’ Bankruptcy," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 10(3), pages 351-374, September.
• Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• 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, vol. 6(8), pages 1-9, August.
  • Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Swiss Finance Institute Research Paper Series 11-05, Swiss Finance Institute.
  • Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, "undated". "The Role of diversification risk in financial bubbles," Working Papers ETH-RC-11-003, ETH Zurich, Chair of Systems Design.
  • Wanfeng Yan & Ryan Woodard & Didier Sornette, 2011. "Role of Diversification Risk in Financial Bubbles," Papers 1107.0838, arXiv.org.
  • Wanfeng YAN & Ryan WOODARD & Didier SORNETTE, 2011. "Role of diversification risk in financial bubbles," Swiss Finance Institute Research Paper Series 11-26, Swiss Finance Institute.
• Didier Sornette & Ryan Woodard, & Wanfeng Yan & Wei-Xing Zhou, "undated". "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette bubble Model," Working Papers ETH-RC-11-004, ETH Zurich, Chair of Systems Design.
  • Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers 1107.3171, arXiv.org, revised Jun 2013.
  • Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Swiss Finance Institute Research Paper Series 11-29, Swiss Finance Institute.
• David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
• Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic, 2011. "The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(2), pages 101-130, December.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  • José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84, Bank for International Settlements.
• Joonhyuk Song, 2011. "Analysis on the Forecasting Performance of KOSPI200 Volatility between Long Memory Model and Regime-Switching Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 17(4), pages 99-127, December.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
• Paulo Sérgio Ceretta & Fernanda Galvão de Barba & Kelmara Mendes Vieira & Fernando Casarin, 2011. "Intraday volatility forecasting: analysis of alternative distributions," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(2), pages 209-226.
• Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela, 2011. "Short-Run Asset Selection using a Logistic Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(2), pages 227-256.
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • 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 EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  • 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 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 757, Kyoto University, Institute of Economic Research.
• 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 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
  • 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 759, Kyoto University, Institute of Economic Research.
• 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 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • 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 784, Kyoto University, Institute of Economic Research.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • 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 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 782, Kyoto University, Institute of Economic Research.
• Rodolfo Apreda, 2011. "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo. 454, Universidad del CEMA.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Stefan Erdorf & Thomas Hartmann-Wendels & Nicolas Heinrichs, 2011. "Diversification in Firm Valuation: A Multivariate Copula Approach," Cologne Graduate School Working Paper Series 02-01, Cologne Graduate School in Management, Economics and Social Sciences.
• Soenke Sievers & Jan Klobucnik, 2011. "Valuing high technology growth firms," Cologne Graduate School Working Paper Series 02-07, Cologne Graduate School in Management, Economics and Social Sciences.
• Monique JEANBLANC & Didier SORNETTE, 2011. "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series 11-62, Swiss Finance Institute.
• Semei Coronado Ramírez & Leonardo Gatica Arreola, 2011. "Identificación de episodios de dependencia no lineal en el peso mexicano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos Leóm & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 648, Banco de la Republica de Colombia.
  • Carlos Le�n Rinc�n & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 8277, Banco de la Republica.
• García-Suaza, Andrés Felipe & Gómez-González, José E. & Pabón, Andrés Murcia & Tenjo-Galarza, Fernando, 2012. "The cyclical behavior of bank capital buffers in an emerging economy: Size does matter," Economic Modelling, Elsevier, vol. 29(5), pages 1612-1617.
  • Andrés Felipe García-Suaza & José E. Gómez-González & Andrés Murcia Pabón & Fernando Tenjo-Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia 650, Banco de la Republica de Colombia.
  • Andr�s Felipe Garc�a-Suaza & Jose Eduardo G�mez-Gonz�lez & Andr�s Murcia pab�n & Feenando tenjo Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia 8305, Banco de la Republica.
• Héctor Zárate & Katherine Sánchez & Margarita Marín, 2011. "Cuantificación de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicación a la Encuesta Mensual de Expectativas Económicas," Borradores de Economia 649, Banco de la Republica de Colombia.
  • H�ctor Z�rate & Katherine S�nchez & Margarita Mar�n, 2011. "Cuantificaci�n de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicaci�n a la Encuesta Mensual de Expectativas Econ�micas," Borradores de Economia 8327, Banco de la Republica.
• Viviana Alejandra Alfonso & Luis Eduardo Arango & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 651, Banco de la Republica de Colombia.
  • Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & Jos� David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 8328, Banco de la Republica.
• Rafael Puyana & Mario Andrés Ramos & Héctor Zarate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a través de la compensación salarial," Borradores de Economia 652, Banco de la Republica de Colombia.
  • Rafael Puyana & Mario Andr�s Ramos & H�ctor Z�rate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a trav�s de la compensaci�n salarial," Borradores de Economia 8337, Banco de la Republica.
• Sebástian Gómez Barrero & Julián A.Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 653, Banco de la Republica de Colombia.
  • Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011. "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia 8576, Banco de la Republica.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 8577, Banco de la Republica.
• Sebástian Gómez Barrero & Julián A.Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 653, Banco de la Republica de Colombia.
  • Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011. "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia 8577, Banco de la Republica.
  • Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011. "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia 8576, Banco de la Republica.
• Javier Gómez Restrepo & Juan Manuel Hérnandez Herrera, 2011. "Composición cambiaria y poder adquisitivo de las reservas internacionales," Borradores de Economia 654, Banco de la Republica de Colombia.
  • Javier G�mez Restrepo & Juan Manuel Hern�ndez Herrera, 2011. "Composici�n cambiaria y poder adquisitivo de las reservas internacionales," Borradores de Economia 8578, Banco de la Republica.
• Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 222-245, December.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 222-245, December.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia 656, Banco de la Republica de Colombia.
  • Andr�s Gonz�lez & Lavan Mahadeva & Juan D. Prada & Diego Rodr�guez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia 8698, Banco de la Republica.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  • Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  • Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
• Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, Association for Cultural Economics International, revised Nov 2011.
• Jiri Krtek & Miloslav Vošvrda, 2011. "Comparing Neural Networks and ARMA Models in Artificial Stock Market," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
• Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, January.
  • Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
• Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," Working Papers hal-04140982, HAL.
  • Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers 2011-23, University of Paris Nanterre, EconomiX.
• Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip, 2011. "Media Sentiment and UK Stock Returns," Department of Economics Working Papers 2011_06, Durham University, Department of Economics.
• Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  • Gary Koop & Lise Tole, 2011. "Forecasting the European Carbon Market," Working Papers 1110, University of Strathclyde Business School, Department of Economics.
  • Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
• Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
• Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011. "Functional data analysis for volatility," Journal of Econometrics, Elsevier, vol. 165(2), pages 233-245.
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
  • Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
• Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.
• Hartman, Brian M. & Heaton, Matthew J., 2011. "Accounting for regime and parameter uncertainty in regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 429-437.
• Blaskowitz, Oliver & Herwartz, Helmut, 2011. "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1058-1065, October.
• Kross, William J. & Ro, Byung T. & Suk, Inho, 2011. "Consistency in meeting or beating earnings expectations and management earnings forecasts," Journal of Accounting and Economics, Elsevier, vol. 51(1), pages 37-57.
• Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
• Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
  • 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 15, Development and Policies Research Center (DEPOCEN), Vietnam.
• Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  • Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• 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, vol. 81(7), pages 1482-1490.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 723, Kyoto University, Institute of Economic Research.
• Mason Gaffney, 2011. "An Award for Calling the Crash," Econ Journal Watch, Econ Journal Watch, vol. 8(2), pages 185-192, May.
• 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," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1048-1067, September.
  • 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 759, Kyoto University, Institute of Economic Research.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
  • 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 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• 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," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  • 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 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • 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 757, Kyoto University, Institute of Economic Research.
  • 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 EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• 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 EI 2011-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• 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 761, Kyoto University, Institute of Economic Research.
  • 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 EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • 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 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 782, Kyoto University, Institute of Economic Research.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
• Mustapha Djennas & Mohamed Benbouziane & Meriem Djennas, 2011. "An Approach of Combining Empirical Mode Decomposition and Neural Network Learning for Currency Crisis Forecasting," Working Papers 627, Economic Research Forum, revised 09 Jan 2011.
• Krenar Avdulaj, 2011. "The Extreme Value Theory as a Tool to Measure Market Risk," Working Papers IES 2011/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
• Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
• Rebiasz, B., 2011. "Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(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), vol. 0(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), vol. 0(2), pages 59-73, November.
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers 2011-23, University of Paris Nanterre, EconomiX.
  • Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," Working Papers hal-04140982, HAL.
• Breitung, Jörg & Schmeling, Maik, 2013. "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
  • Breitung, Jörg & Schmeling, Maik, 2011. "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP) dp-485, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Toshiaki Watanabe, 2011. "Quantile Forecasts of Financial Returns Using Realized GARCH Models," Global COE Hi-Stat Discussion Paper Series gd11-195, Institute of Economic Research, Hitotsubashi University.
• 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 gd11-214, Institute of Economic Research, Hitotsubashi University.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2011. "A Network Model of Financial System Resilience," SFB 649 Discussion Papers SFB649DP2011-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• Ray-Bing Chen & Ying Chen & Wolfgang Härdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• 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 wp2011n01, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• 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, vol. 3(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, vol. 5(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, vol. 5(5), pages 27-43.
• MÁrcio Poletti Laurini & Luiz Koodi Hotta, 2014. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 214-230, April.
  • Márcio Laurini & Luiz Koodi Hotta, 2011. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers 2011-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Aykut EKİNCİ & Halil İbrahim ERDAL, 2011. "Türkiye’de banka başarısızlıklarının tahmini üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 26(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, vol. 26(309), pages 33-50.
• Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  • Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
• Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
• 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, vol. 0(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, vol. 37(3), pages 301-330, March.
• Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
• Huong Higgins, 2011. "Forecasting stock price with the residual income model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 583-604, May.
• Vivek Sharma, 2011. "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 283-299, October.
• Matthias W. Uhl, 2011. "Reuters Sentiment and Stock Returns," KOF Working papers 11-288, KOF Swiss Economic Institute, ETH Zurich.
• Cetin-Behzet Cengiz & Rüdiger von Nitzsch, 2011. "Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen," Credit and Capital Markets, Credit and Capital Markets, vol. 44(3), pages 419-458.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • 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 EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 757, Kyoto University, Institute of Economic Research.
  • 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 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• 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 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 759, Kyoto University, Institute of Economic Research.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
• 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 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • 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 767, Kyoto University, Institute of Economic Research.
  • 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 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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-F-643, CIRJE, Faculty of Economics, University of Tokyo.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • 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 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • 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 782, Kyoto University, Institute of Economic Research.
  • 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 EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • 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 784, Kyoto University, Institute of Economic Research.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2010

• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
  • Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  • Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
• Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
• Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
  • Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
• Bent Jesper Christensen & Paolo Santucci de Magistris, 2010. "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers 2010-60, Department of Economics and Business Economics, Aarhus University.
• 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 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
• 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 11/10, Monash University, Department of Econometrics and Business Statistics.
  • 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 2010-520, Australian National University, College of Business and Economics, School of Economics.
• 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, vol. 1(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, vol. 1(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, vol. 1(12), pages 1-50.
• Luca RICCETTI, 2010. "From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation," Working Papers 351, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• 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], vol. 11(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, vol. 105(492), pages 1376-1393.
  • Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2009. "Localized realized volatility modelling," SFB 649 Discussion Papers 2009-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010. "Predictive Regressions: A Present‐Value Approach," Journal of Finance, American Finance Association, vol. 65(4), pages 1439-1471, August.
  • Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
• LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
  • Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Business School.
• LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
  • Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Business School, 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, vol. 8(3), pages 351-376.
• Satchell, S. & Williams, O.J., 2010. "Social Welfare Issues of Financial Literacy," Cambridge Working Papers in Economics 1036, Faculty of Economics, University of Cambridge.
• Satchell, S. & Williams, O.J., 2010. "On the Difficulty of Measuring Forecasting Skill in Financial Markets," Cambridge Working Papers in Economics 1039, Faculty of Economics, University of Cambridge.
• Harvey, Andrew, 2010. "Exponential conditional volatility models," DES - Working Papers. Statistics and Econometrics. WS ws103620, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Harvey, A., 2010. "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics 1040, Faculty of Economics, University of Cambridge.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• 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, vol. 81(7), pages 1482-1490.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 723, Kyoto University, Institute of Economic Research.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
• Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," Economics Series Working Papers 499, University of Oxford, Department of Economics.
  • Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers 0052, Centre for Economic Performance, LSE.
  • Aron, Janine & Muellbauer, John, 2010. "Modelling and forecasting UK mortgage arrears and possessions," LSE Research Online Documents on Economics 58520, London School of Economics and Political Science, LSE Library.
  • Muellbauer, John & Aron, Janine, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," CEPR Discussion Papers 7986, C.E.P.R. Discussion Papers.
• Jeffrey SATINOVER & Didier SORNETTE, 2010. "Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes," Swiss Finance Institute Research Paper Series 10-34, Swiss Finance Institute.
• Joao A. Bastos, 2010. "Predicting bank loan recovery rates with neural networks," CEMAPRE Working Papers 1003, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• Tomas Havranek & Roman Horvath & Jakub Mateju, 2010. "Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic," Working Papers 2010/06, Czech National Bank, Research and Statistics Department.
• 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 11807, Universidad EAFIT.
• 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.
• Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Oxford University Press, vol. 8(3), pages 305-334, Summer.
  • Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(6), pages 1813-1845, December.
  • Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
• Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," Economics Series Working Papers 499, University of Oxford, Department of Economics.
  • Muellbauer, John & Aron, Janine, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," CEPR Discussion Papers 7986, C.E.P.R. Discussion Papers.
  • Aron, Janine & Muellbauer, John, 2010. "Modelling and forecasting UK mortgage arrears and possessions," LSE Research Online Documents on Economics 58520, London School of Economics and Political Science, LSE Library.
  • Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers 0052, Centre for Economic Performance, LSE.
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
  • Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
• Harvey, A., 2010. "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics 1040, Faculty of Economics, University of Cambridge.
  • Harvey, Andrew, 2010. "Exponential conditional volatility models," DES - Working Papers. Statistics and Econometrics. WS ws103620, Universidad Carlos III de Madrid. Departamento de Estadística.
• 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.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • 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-00507831, HAL.
  • 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 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • 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 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
• Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
  • 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 15, Development and Policies Research Center (DEPOCEN), Vietnam.
• Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, 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, vol. 32(6), pages 1445-1455, November.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
• Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
  • Joao A. Bastos, 2009. "Forecasting bank loans loss-given-default," CEMAPRE Working Papers 0901, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• 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, vol. 74(3), pages 149-162, June.
  • Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, "undated". "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
  • 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," Swiss Finance Institute Research Paper Series 09-39, Swiss Finance Institute.
  • 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 0909.1007, arXiv.org, revised Oct 2009.
• Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
• Göktug Cenk AKKAYA & Erhan DEMIRELI, 2010. "Finansal Kararlarin Verilmesinde Promethee Siralama Yöntemi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 10(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, vol. 10(4), pages 1139-1153.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
  • 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 EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
• 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 717, Kyoto University, Institute of Economic Research.
  • 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 EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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-F-718, CIRJE, Faculty of Economics, University of Tokyo.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Boril Šopov & Jakub Seidler, 2011. "Yield Curve Dynamics: Regional Common Factor Model," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 140-156.
  • Boril Šopov & Jakub Seidler, 2010. "Yield Curve Dynamics: Regional Common Factor Model," Working Papers IES 2010/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, 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 2010/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, 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, vol. 7(2), pages 69-89, October.
• Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
  • Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  • 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 2010-008, Federal Reserve Bank of St. Louis.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
• 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 18, Gaidar Institute for Economic Policy, revised 2012.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • 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 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • 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-00507831, HAL.
  • 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 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
• Matthias Ritter & Oliver Mußhoff & Martin Odening, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers SFB649DP2010-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Yating Yang & H.W. Chuang, 2010. "A Dynamic Financial Ratio Adjustment Model," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(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, vol. 4(2), pages 43-58.
• 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, vol. 2(1), pages 140-149, March.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
• 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 EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 717, Kyoto University, Institute of Economic Research.
  • 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-F-718, CIRJE, Faculty of Economics, University of Tokyo.
• 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, vol. 81(7), pages 1482-1490.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 723, Kyoto University, Institute of Economic Research.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • 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 EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • 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 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • 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 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • 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-00507831, HAL.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
• Paarz, Roland, 2010. "Auswirkungen des Wechsels auf IFRS und US-GAAP auf die Gewinnprognosen von Analysten," Discussion Papers in Business Administration 11364, University of Munich, Munich School of Management.
• 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 2010-520, Australian National University, College of Business and Economics, School of Economics.
  • 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 11/10, Monash University, Department of Econometrics and Business Statistics.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357-388.
  • Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387, National Bureau of Economic Research, Inc.
  • Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
• JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010. "Predictive Regressions: A Present‐Value Approach," Journal of Finance, American Finance Association, vol. 65(4), pages 1439-1471, August.
  • Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357-388.
  • Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387, National Bureau of Economic Research, Inc.
  • Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
  • Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010. "Predictability of Returns and Cash Flows," NBER Working Papers 16648, National Bureau of Economic Research, Inc.
• Wade D. Pfau, 2010. "An International Perspective on Safe Withdrawal Rates from Retirement Savings: The Demise of the 4 Percent Rule?," GRIPS Discussion Papers 10-12, National Graduate Institute for Policy Studies, revised Oct 2010.
• Kitty Moloney & Srinivas Raghavendra, 2010. "Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory," Working Papers 0158, National University of Ireland Galway, Department of Economics, 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, vol. 1(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, vol. 1(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, vol. 1(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 10E008, Osaka School of International Public Policy, Osaka University.
• Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Oxford University Press, vol. 8(3), pages 305-334, Summer.
  • Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.
• 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, vol. 0(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, vol. 0(2), pages 274-279, October.
• Muellbauer, John & Aron, Janine, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," CEPR Discussion Papers 7986, C.E.P.R. Discussion Papers.
  • Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," Economics Series Working Papers 499, University of Oxford, Department of Economics.
  • Aron, Janine & Muellbauer, John, 2010. "Modelling and forecasting UK mortgage arrears and possessions," LSE Research Online Documents on Economics 58520, London School of Economics and Political Science, LSE Library.
  • Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers 0052, Centre for Economic Performance, LSE.
• Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
  • Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  • Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
  • Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Long Memory in Stock Market Volatility:Evidence from India," MPRA Paper 48519, University Library of Munich, Germany.
• Radkov, Petar, 2010. "The Mean Reversion Stochastic Processes Applications in Risk Management," MPRA Paper 60159, University Library of Munich, Germany.
• 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, vol. 2010(2), pages 3-22.
• André Babeau, 2010. "L’absence de prévisions macrofinancières : une situation calamiteuse heureusement en cours d’évolution," Revue d'Économie Financière, Programme National Persée, vol. 98(3), pages 39-53.
• Alain Cazalé, 2010. "L’information économique et financière et la crise," Revue d'Économie Financière, Programme National Persée, vol. 98(3), pages 85-103.
• 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, vol. 2(2), pages 151-167, March.
  • Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011. "Forecasting the Polish zloty with non-linear models," NBP Working Papers 81, Narodowy Bank Polski.
• 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, vol. 2(4), pages 253-277, September.
• Adam Clements & Annastiina Silvennoinen, 2010. "Portfolio allocation: Getting the most out of realised volatility," NCER Working Paper Series 54, National Centre for Econometric Research, revised 06 May 2010.
• Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
• Roxana Chiriac & Winfried Pohlmeier, 2010. "How Risky Is the Value at Risk?," Working Paper series 07_10, Rimini Centre for Economic Analysis.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
  • McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
• 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 60, Asian Development Bank.
• Joachim Lang & Reinhard Madlener, 2010. "Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining," FCN Working Papers 11/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
• Charles Tapiero, 2010. "The future of financial risk management," Journal of Financial Transformation, Capco Institute, vol. 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, vol. 0(1), pages 81-98, March.
  • Claudiu Tiberiu Albulescu, 2009. "Forecasting Romanian Financial System Stability using a Stochastic Simulation Model," Working Papers 2009.4, International Network for Economic Research - INFER.
• André Schöne, 2010. "Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, vol. 62(6), pages 625-661, September.
• Francesco GUIDI, 2010. "Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 27-43, June.
  • Guidi, Francesco, 2010. "Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models," MPRA Paper 19851, University Library of Munich, Germany.
• John FRY, 2010. "Bubbles And Crashes In Finance: A Phase Transition From Random To Deterministic Behaviour In Prices," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(2), pages 131-137, December.
  • Fry, J. M., 2010. "Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices," MPRA Paper 24778, University Library of Munich, Germany.
• de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
  • Erik de Wit & Peter Englund & Marc Francke, 2009. "Price and Transaction Volume in the Dutch Housing Market," ERES eres2009_234, European Real Estate Society (ERES).
  • Erik R. de Wit & Peter Englund & Marc Francke, 2010. "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers 10-039/2, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • 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 EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
• 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 717, Kyoto University, Institute of Economic Research.
  • 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-F-718, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
• 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, vol. 5(3(13)/Fal), pages 196-216.
  • Erber, Georg, 2010. "The Problem of Money Illusion in Economics," MPRA Paper 24246, University Library of Munich, Germany.
• Silvia Centanni & Marco Minozzo, 2012. "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-22.
  • Silvia Centanni & Marco Minozzo, 2010. "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers 22/2010, University of Verona, Department of Economics.
• 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 2010,01, Deutsche Bundesbank.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  • Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
• Hess, Dieter E. & Kreutzmann, Daniel & Pucker, Oliver, 2010. "Projected earnings accuracy and the profitability of stock recommendations," CFR Working Papers 10-17, University of Cologne, Centre for Financial Research (CFR).
• 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 2010-5, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing.
• 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 2010-7, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing.
• Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers 2010-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• 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 IF34V1, Technische Universität Braunschweig, Institute of Finance.
• Orth, Walter, 2010. "The predictive accuracy of credit ratings: measurement and statistical inference," Discussion Papers in Econometrics and Statistics 2/10, University of Cologne, Institute of Econometrics and Statistics.
• Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics 7/10, University of Cologne, Institute of Econometrics and Statistics.

2009

• Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
• Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
• Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
  • Taylor, Alan M. & Jordà , Ã’scar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
  • Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
• Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
• 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, vol. 2(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 44, National Centre for Econometric Research.
• Leonardo Nogueira, 2009. "Forecasting Yield Curves Using Analyst's Views," ICMA Centre Discussion Papers in Finance icma-dp2009-03, Henley Business School, University of Reading.
• 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, vol. 17(3), pages 227-241, January.
  • Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
• Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
  • Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
  • Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
• Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
  • Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
  • André Ventura & Marcio Gomes Pinto Garcia, 2009. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão 563, Department of Economics PUC-Rio (Brazil).
• Dean Fantazzini, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(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), vol. 14(2), pages 100-127.
  • Dean Fantazzini, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
• Mafalda Ribeiro & C. Machado Santos, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
• Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  • Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  • Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
  • Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
• D. Sornette & L. Lin & Ren R.E., 2009. "A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals," Working Papers CCSS-09-00002, ETH Zurich, Chair of Systems Design.
• D. Sornette & R. Woodard, 2009. "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Working Papers CCSS-09-00003, ETH Zurich, Chair of Systems Design.
• 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 CCSS-09-00008, ETH Zurich, Chair of Systems Design.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
  • 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 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  • 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 09-107/4, Tinbergen Institute.
• Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009. "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Discussion Paper 2009-81, Tilburg University, Center for Economic Research.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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-F-636, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 2009-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, . "Modeling conditional correlations for risk diversification in crude oil markets," Journal of Energy Markets, Journal of Energy Markets.
  • Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series CARF-F-163, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2009-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • 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-F-643, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 767, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• 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 EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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-F-644, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
  • 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-F-667, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 CARF-F-171, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• 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, vol. 81(7), pages 1482-1490.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 723, Kyoto University, Institute of Economic Research.
• da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  • Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
  • McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
  • 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 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  • 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-F-689, CIRJE, Faculty of Economics, University of Tokyo.
  • 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-F-782, CIRJE, Faculty of Economics, University of Tokyo.
• Xin Jin & John M Maheu, 2009. "Modelling Realized Covariances," Working Papers tecipa-382, University of Toronto, Department of Economics.
• 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 EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2009-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-644, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• 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, vol. 23(5), pages 850-855, December.
  • 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 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • 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 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 767, Kyoto University, Institute of Economic Research.
  • 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-F-643, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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-F-636, CIRJE, Faculty of Economics, University of Tokyo.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
  • 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 2009-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 CARF-F-171, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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-F-667, CIRJE, Faculty of Economics, University of Tokyo.
• Alice C Lee & John C Lee & Cheng F Lee, 2009. "Financial Analysis, Planning and Forecasting:Theory and Application," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6416, February.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," SFB 649 Discussion Papers 2009-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
• Wieland, Volker, 2009. "Fiscal stimulus and the promise of future spending cuts: A comment," CFS Working Paper Series 2009/26, Center for Financial Studies (CFS).
• Lux, Thomas, 2009. "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers 1514, Kiel Institute for the World Economy (IfW Kiel).
• Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2010. "Localized Realized Volatility Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1376-1393.
  • Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2009. "Localized realized volatility modelling," SFB 649 Discussion Papers 2009-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Amendola, Alessandra & Storti, Giuseppe, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers 2009-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," SFB 649 Discussion Papers 2009-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2009. "On economic evaluation of directional forecasts," SFB 649 Discussion Papers 2009-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009. "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers 09-042, ZEW - Leibniz Centre for European Economic Research.
• 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 09-045, ZEW - Leibniz Centre for European Economic Research.
• Andrea Bastianin, 2009. "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers 2009.24, Fondazione Eni Enrico Mattei.
  • Bastianin, Andrea, 2009. "Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector," Sustainable Development Papers 50452, Fondazione Eni Enrico Mattei (FEEM).
• 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, vol. 1(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, vol. 1(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, vol. 1(11), pages 1-41.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
  • 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 09-107/4, Tinbergen Institute.
  • 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 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
• 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, vol. 74(3), pages 149-162, June.
  • Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, "undated". "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
  • 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 0909.1007, arXiv.org, revised Oct 2009.
  • 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," Swiss Finance Institute Research Paper Series 09-39, Swiss Finance Institute.
• Camilo SERRANO & Martin HOESLI, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," Swiss Finance Institute Research Paper Series 09-08, Swiss Finance Institute.
  • Camilo Serrano & Martin Hoesli, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," ERES eres2009_265, European Real Estate Society (ERES).
• Maria Debora Braga, 2009. "Hedge fund and market risk: new concepts and models, beyond VaR," BANCARIA, Bancaria Editrice, vol. 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, vol. 3(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, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• 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, vol. 23(5), pages 850-855, December.
  • 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 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• 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 107, Bank of Greece.
• 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, vol. 7(3), pages 265-303.
• Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 2009. "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics 09/05, University of Canterbury, Department of Economics and Finance.
• Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
• Dobrota Gabriela & Chirculescu Maria Felicia, 2009. "Long Term Financing Decision at the Level of Companies," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 35-48, May.
  • Dobrota, Gabriela & Chirculescu, Felicia Maria, 2009. "Long term financing decision at the level of companies," MPRA Paper 17527, University Library of Munich, Germany.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
  • 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 CARF-F-171, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-667, CIRJE, Faculty of Economics, University of Tokyo.
• Camilo Serrano & Martin Hoesli, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," ERES eres2009_265, European Real Estate Society (ERES).
  • Camilo SERRANO & Martin HOESLI, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," Swiss Finance Institute Research Paper Series 09-08, Swiss Finance Institute.
• 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 09-14, Swiss Finance Institute.
• Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
  • Joao A. Bastos, 2009. "Forecasting bank loans loss-given-default," CEMAPRE Working Papers 0901, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• 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 5293, Universidad Tecnológica de Bolívar.
• Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  • Ljungqvist, Alexander & Kelly, Bryan, 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
• Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
  • Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
  • Taylor, Alan M. & Jordà , Ã’scar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
• Sucarrat, Genaro & Escribano, Álvaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de Economía.
• Nhat Le, 2009. "Volatility under Bounded Rationality," Working Papers 11, Development and Policies Research Center (DEPOCEN), Vietnam.
• Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  • Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  • Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  • Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
• Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
  • 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 ERS-2008-071-F&A, 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.
• 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, vol. 9(2), pages 677-697.
• Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, . "Modeling conditional correlations for risk diversification in crude oil markets," Journal of Energy Markets, Journal of Energy Markets.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
  • Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2009-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series CARF-F-163, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 2009-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-636, CIRJE, Faculty of Economics, University of Tokyo.
• 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, vol. 81(7), pages 1482-1490.
  • 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-F-675, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • 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 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • 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 723, Kyoto University, Institute of Economic Research.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  • da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Narcis Eduard Mitu, 2009. "Tax Competition – Areas of Display and Effects," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 67-76.
  • 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, vol. 1(11), pages 33-42, November.
• Bastianin, Andrea, 2009. "Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector," Sustainable Development Papers 50452, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea Bastianin, 2009. "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers 2009.24, Fondazione Eni Enrico Mattei.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
  • Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009. "Global, local, and contagious investor sentiment," Globalization Institute Working Papers 37, Federal Reserve Bank of Dallas.
• Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  • Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
• 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, vol. 10(2), pages 19-39, november.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• Lönnbark, Carl, 2009. "On risk prediction," Umeå Economic Studies 770, Umeå University, Department of Economics.
• Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
• Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Blaskowitz, Oliver & Herwartz, Helmut, 2011. "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1058-1065, October.
  • Oliver Blaskowitz & Helmut Herwartz, 2009. "On economic evaluation of directional forecasts," SFB 649 Discussion Papers SFB649DP2009-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• 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, vol. 8(3), pages 201-211, December.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
  • 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-F-689, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  • 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-F-782, CIRJE, Faculty of Economics, University of Tokyo.
• Albulescu, Claudiu Tiberiu, 2010. "Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-98, March.
  • Claudiu Tiberiu Albulescu, 2009. "Forecasting Romanian Financial System Stability using a Stochastic Simulation Model," Working Papers 2009.4, International Network for Economic Research - INFER.
• Leif Brandes & Egon Franck & Erwin Verbeek, 2009. "The Validity of Models on the Information Content of Trades," Working Papers 00120, University of Zurich, Institute for Strategy and Business Economics (ISU), 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, vol. 9(1), pages 17-29, May.
• Onur Olgun & Ý. Hakan Yetkiner, 2009. "The Superiority of Time-Varying Hedge Ratios in Turkish Futures," Working Papers 0907, Izmir University of Economics.
• 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, vol. 5(2), pages 125-134, June.

2008

• Lumengo Bonga-Bonga, 2008. "Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach," The African Finance Journal, Africagrowth Institute, vol. 10(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, vol. 2(36), pages 612-619, may.
• Narcis Eduard Mitu, 2009. "Tax Competition – Areas of Display and Effects," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 67-76.
  • 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, vol. 1(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, vol. 2(2), pages 25-48.
• Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration under EMU," European Economy - Economic Papers 2008 - 2015 312, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  • Pagano, Marco & Jappelli, Tullio, 2008. "Financial Market Integration Under EMU," CEPR Discussion Papers 7091, C.E.P.R. Discussion Papers.
  • Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration Under EMU," CSEF Working Papers 197, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
• Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• 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 EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-644, CIRJE, Faculty of Economics, University of Tokyo.
• Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
  • 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 ERS-2008-071-F&A, 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.
• Lucian BUSE & Marian SIMINICA & Daniel CIRCIUMARU, 2008. "Cost-Benefit Analysis - Economic Tool Used to Aid Decision-Making Regarding the Distribution of Public Funds," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(36), pages 1068-1077, May.
  • 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, vol. 0(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, vol. 0(4), pages 7-18.
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
  • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
• 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), vol. 0(2), pages 53-62, November.
• Sandrine LARDIC & Karine MICHALON & François DOSSOU, 2008. "Can earnings forecasts be improved by taking into account the forecast bias?," Economics Bulletin, AccessEcon, vol. 7(11), pages 1-20.
  • François Dossou & Sandrine Lardic & Karine Michalon, 2008. "Can earnings forecasts be improved by taking into account the forecast bias?," Post-Print halshs-00365972, HAL.
• 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 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
• Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• 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 08-31, University of Copenhagen. Department of Economics.
  • Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," CREATES Research Papers 2009-01, Department of Economics and Business Economics, Aarhus University.
• Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  • Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
• 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., vol. 4(01), pages 1-27.
  • Poitras, Geoffrey & Heaney, John, 2008. "‘How is the Stock Market Doing?’ Using Absence of Arbitrage to Measure Stock Market Performance," MPRA Paper 114056, University Library of Munich, Germany.
• Stavros Degiannakis & Evdokia Xekalaki, 2008. "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 419-423.
  • Degiannakis, Stavros & Xekalaki, Evdokia, 2008. "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper 96321, University Library of Munich, Germany.
• Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  • Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
  • Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
• Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
  • Dean Fantazzini, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
• Dean Fantazzini, 2008. "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 84-137.
• Vasco Salazar Soares, 2008. "Technical Analysis and Nonlinear Dynamics," Working Papers 5/2008, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
• 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, vol. 24, pages 123-130.
• Pagano, Marco & Jappelli, Tullio, 2008. "Financial Market Integration Under EMU," CEPR Discussion Papers 7091, C.E.P.R. Discussion Papers.
  • Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration Under EMU," CSEF Working Papers 197, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
  • Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration under EMU," European Economy - Economic Papers 2008 - 2015 312, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
• Stavros Degiannakis & Evdokia Xekalaki, 2008. "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 419-423.
  • Degiannakis, Stavros & Xekalaki, Evdokia, 2008. "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper 96321, University Library of Munich, Germany.
• Stavros Degiannakis & Evdokia Xekalaki, 2008. "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 419-423.
  • Degiannakis, Stavros & Xekalaki, Evdokia, 2008. "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper 96321, University Library of Munich, Germany.
• 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., vol. 4(01), pages 1-27.
  • Poitras, Geoffrey & Heaney, John, 2008. "‘How is the Stock Market Doing?’ Using Absence of Arbitrage to Measure Stock Market Performance," MPRA Paper 114056, University Library of Munich, Germany.
• 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., vol. 4(01), pages 1-27.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers 2008-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

2007

• 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), vol. 8(4), pages 18-26.
• 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, vol. 1(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, vol. 1(9S), pages 35-40, May.
• Andrea Resti & Andrea Sironi, 2007. "Understanding and measuring liquidity risk," BANCARIA, Bancaria Editrice, vol. 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," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series CARF-F-163, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 EI 2009-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• 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.
  • 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 11824, Universidad EAFIT.
  • Hernan Herrera-Echeverri, 2016. "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 14973, Universidad EAFIT.
• Anthony S. Tay, 2007. "Financial Variables as Predictors of Real Output Growth," Development Economics Working Papers 22482, East Asian Bureau of Economic Research.
• 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 EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Kuznetsov, Leonid A. & Morozov, Andrew S., 2007. "Planning Business Activity Under Uncertainty," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(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), vol. 0(1), pages 3-19, May.
  • Antonio Morillas & Bárbara Díaz, 2005. "Qualitative Answering Surveys And Soft Computing," GE, Growth, Math methods 0512002, University Library of Munich, Germany.
• 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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(1), pages 73-94, May.

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, vol. 1(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, vol. 1(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, vol. 1(6), pages 100-107, April.
• 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, 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 11824, Universidad EAFIT.
  • Hernan Herrera-Echeverri, 2016. "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 14973, Universidad EAFIT.
• Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C., 2006. "Time series forecasting by principal covariate regression," Econometric Institute Research Papers EI 2006-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Kuznetsov, Leonid A., 2006. "Intellectual Support Of Small Firms’ Management," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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), vol. 0(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, vol. 49(2), pages 611-629, April.
  • Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
• M. D. Hayford & A. G. Malliaris, 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 14, pages 223-232, World Scientific Publishing Co. Pte. Ltd..
  • Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.
• Asadpour, H. & Khalilian, S. & Peykani Gh. R., 2005. "Application Of Crisp And Fuzzy Goal Programming Models For Optimization Of Cropping Pattern In Haraz Sub-Basin In Iran," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 13-25, November.
• Guillén, A. & Rojas, I. & González, J. & Pomares, H. & Herrera, L.J., 2005. "Rbf Centers Initialization Using Fuzzy Clustering Technique For Function Approximation Problems," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 27-44, November.
• Entani, T. & Sugihara, K. & Tanaka, H., 2005. "Interval Weights In Ahp By Linear And Quadratic Programming," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-11, November.
• Smimou, K. & Bhatt, S. K. & Dahl, D. W, 2005. "New Product Ideas Screening Decision With Approximate Evaluations: Optimization Approach," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 45-60, November.
• Pazzi, Jorge & Tohmé, Fernando, 2005. "A Fuzzy Characterization Of Uncertainty In Financial Crises," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 61-70, November.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  • Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
• A G Malliaris, 2005. "Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5864.
• Fwu-Ranq Chang & A. G. Malliaris, 2005. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 1, pages 3-8, World Scientific Publishing Co. Pte. Ltd..
  • Fwu-Ranq Chang & A. G. Malliaris, 1987. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 169-174.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 2, pages 9-12, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1990. "How big is the random walks in macroeconomic time series : Variance ratio tests," Economics Letters, Elsevier, vol. 34(2), pages 113-116, October.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1991. "An empirical investigation among real, monetary and financial variables," Economics Letters, Elsevier, vol. 37(2), pages 151-158, October.
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005. "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 4, pages 23-28, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Mullady, Walter Sr. & Malliaris, M. E., 1991. "Interest rates and inflation : A continuous time stochastic approach," Economics Letters, Elsevier, vol. 37(4), pages 351-356, December.
• A. G. Malliaris & Mary E. Malliaris, 2005. "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 5, pages 29-39, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A G & Malliaris, Mary E, 1995. "Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, Springer, vol. 5(1), pages 93-103, March.
• A. G. Malliaris, 2005. "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 6, pages 41-57, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 1992. "Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975," International Review of Financial Analysis, Elsevier, vol. 1(1), pages 77-93.
• A. G. Malliaris & Silvana Stefani, 2005. "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 7, pages 59-82, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stefani, Silvana, 1991. "Money, inflation and interest rates: Illustrations from twelve European economies," European Journal of Political Economy, Elsevier, vol. 7(3), pages 275-298, October.
• A. G. Malliaris & Jerome L. Stein, 2005. "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 8, pages 85-115, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
• George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005. "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 9, pages 117-136, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris & Jorge L. Urrutia, 2005. "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 10, pages 137-149, World Scientific Publishing Co. Pte. Ltd..
• Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  • Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.
• Ramaprasad Bhar & A. G. Malliaris, 2005. "Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 12, pages 187-206, World Scientific Publishing Co. Pte. Ltd..
• Marc D. Hayford & A. G. Malliaris, 2005. "Is The Federal Reserve Stock Market Bubble-Neutral?," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 13, pages 207-221, World Scientific Publishing Co. Pte. Ltd..
• Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.
  • M. D. Hayford & A. G. Malliaris, 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 14, pages 223-232, World Scientific Publishing Co. Pte. Ltd..
• Marc D. Hayford & A. G. Malliaris, 2005. "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 15, pages 233-247, World Scientific Publishing Co. Pte. Ltd..
  • Marc D. Hayford & A. G. Malliaris, 2004. "Monetary Policy and the U.S. Stock Market," Economic Inquiry, Western Economic Association International, vol. 42(3), pages 387-401, July.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 353-364, September.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "The Impact Of The Persian Gulf Crisis On National Equity Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 17, pages 263-285, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris & Jorge L. Urrutia, 2005. "Oil And World Stock Markets' Reaction To The Gulf Crisis," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 18, pages 287-307, World Scientific Publishing Co. Pte. Ltd..
• Jorge Urrutia & A. G. Malliaris, 2005. "Equity And Oil Markets Under External Shocks," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 19, pages 309-322, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris, 2005. "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 20, pages 323-343, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 2002. "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 72-92, May.

2004

• Donal Byard & Kenneth Shaw, 2004. "The informational role of financial analysts: Interpreting public disclosures," Journal of Financial Transformation, Capco Institute, vol. 11, pages 143-148.

2003

• Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
• Donkers, A.C.D. & Verhoef, P.C. & de Jong, M.G., 2003. "Predicting Customer Lifetime Value in Multi-Service Industries," ERIM Report Series Research in Management ERS-2003-038-MKT, 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.

2002

• A. G. Malliaris, 2005. "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 20, pages 323-343, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 2002. "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 72-92, May.
• Sfetsos, A. & Siriopoulos, C., 2002. "Artificial Intelligent Based Time Series Forecasting Of Stock Prices Using Digital Filters," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 29-44, May.
• Koulouriotis, D.E. & Emiris, D.M. & Diakoulakis, I.E. & Zopounidis, C., 2002. "Behavioristic Analysis And Comparative Evaluation Of Intelligent Methodologies For Short-Term Stock Price Forecasting," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 23-57, November.
• Tomonori Nishikawa & Shizue Shimizu & Masafumi Imai, 2002. "Effectiveness Of System Identification For Complex Systems By The Fuzzy Adaptive Gmdh," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 81-92, November.
• Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  • Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.
• Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.

2001

• Cakir, Murat, 2001. "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper 55976, University Library of Munich, Germany.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
• Levasseur, Michel & Bodt, Eric De & Severin, Eric, 2001. "Debt: A Factor Of Both "Good" And "Bad" Stress During An Economic Recession: Evidence From France," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 89-107, May.

2000

• Brown, LD & Han, JCY, 2000. "Do stock prices fully reflect the implications of current earnings for future earnings for AR1 firms?," Journal of Accounting Research, Wiley Blackwell, vol. 38(1), pages 149-164.
• Francis, J & Olsson, P & Oswald, DR, 2000. "Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates," Journal of Accounting Research, Wiley Blackwell, vol. 38(1), pages 45-70.

1999

• Pfeiffer, RJ & Elgers, PT, 1999. "Controlling for lagged stock price responses in pricing regressions: An application to the pricing of cash flows and accruals," Journal of Accounting Research, Wiley Blackwell, vol. 37(1), pages 239-247.
• Libby, R & Tan, HT, 1999. "Analysts' reactions to warnings of negative earnings surprises," Journal of Accounting Research, Wiley Blackwell, vol. 37(2), pages 415-435.
• Ohlson, JA & Zhang, XJ, 1999. "On the theory of forecast horizon in equity valuation," Journal of Accounting Research, Wiley Blackwell, vol. 37(2), pages 437-449.
• A. G. Malliaris & Jerome L. Stein, 2005. "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 8, pages 85-115, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.

1998

• Fischer, PE & Verrecchia, RE, 1998. "Correlated forecast errors," Journal of Accounting Research, Wiley Blackwell, vol. 36(1), pages 91-110.
• Ittner, CD & Larcker, DF, 1998. "Are nonfinancial measures leading indicators of financial performance? An analysis of customer satisfaction," Journal of Accounting Research, Wiley Blackwell, vol. 36, pages 1-35.
• Lambert, RA, 1998. "Customer satisfaction and future financial performance discussion of are nonfinancial measures leading indicators of financial performance? Are analysis of customer satisfaction," Journal of Accounting Research, Wiley Blackwell, vol. 36, pages 37-46.
• Gaëlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.

1997

• Ackert, LF & Church, BK & Shehata, M, 1997. "An experimental examination of the effects of forecast bias on individuals' use of forecasted information," Journal of Accounting Research, Wiley Blackwell, vol. 35(1), pages 25-42.
• Walther, BR, 1997. "Investor sophistication and market earnings expectations," Journal of Accounting Research, Wiley Blackwell, vol. 35(2), pages 157-179.
• Francis, J & Soffer, L, 1997. "The relative informativeness of analysts' stock recommendations and earnings forecast revisions," Journal of Accounting Research, Wiley Blackwell, vol. 35(2), pages 193-211.
• Mikhail, MB & Walther, BR & Willis, RH, 1997. "Do security analysts improve their performance with experience?," Journal of Accounting Research, Wiley Blackwell, vol. 35, pages 131-157.
• Jacob, J, 1997. "Discussion of do security analysts improve their performance with experience?," Journal of Accounting Research, Wiley Blackwell, vol. 35, pages 159-166.
• McNichols, M & O'Brien, PC, 1997. "Self-selection and analyst coverage," Journal of Accounting Research, Wiley Blackwell, vol. 35, pages 167-199.
• Francis, J, 1997. "Discussion of self-selection and analyst coverage," Journal of Accounting Research, Wiley Blackwell, vol. 35, pages 201-208.

1996

• Petroni, K & Beasley, M, 1996. "Errors in accounting estimates and their relation to audit firm type," Journal of Accounting Research, Wiley Blackwell, vol. 34(1), pages 151-171.
• Wiedman, CI, 1996. "The relevance of characteristics of the information environment in the selection of a proxy for the market's expectations for earnings: An extension of Brown, Richardson, and Schwager [1987]," Journal of Accounting Research, Wiley Blackwell, vol. 34(2), pages 313-324.
• 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 EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-155, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-636, CIRJE, Faculty of Economics, University of Tokyo.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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 767, Kyoto University, Institute of Economic Research.
  • 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-F-643, CIRJE, Faculty of Economics, University of Tokyo.
• 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 EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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 2009-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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-F-644, CIRJE, Faculty of Economics, University of Tokyo.
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  • Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

1995

• A. G. Malliaris & Mary E. Malliaris, 2005. "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 5, pages 29-39, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A G & Malliaris, Mary E, 1995. "Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, Springer, vol. 5(1), pages 93-103, March.
• Bukvić, Rajko, 1995. "Књиговодствено-Финансијски Показатељи Пословања И Њихово Коришћење У Интерним И Екстерним Анализама [Accounting and financial business indicators and their use in internal and external analyses]," MPRA Paper 121941, University Library of Munich, Germany, revised 1995.

1994

• Kowalczyk, Carsten & Sjostrom, Tomas, 1994. "Bringing GATT into the Core," Economica, London School of Economics and Political Science, vol. 61(243), pages 301-317, August.
• Kang, Sh & Obrien, J & Sivaramakrishnan, K, 1994. "Analysts Interim Earnings Forecasts - Evidence On The Forecasting Process," Journal of Accounting Research, Wiley Blackwell, vol. 32(1), pages 103-112.
• Francis, J & Philbrick, D & Schipper, K, 1994. "Shareholder Litigation And Corporate Disclosures," Journal of Accounting Research, Wiley Blackwell, vol. 32(2), pages 137-164.
• Finger, Ca, 1994. "The Ability Of Earnings To Predict Future Earnings And Cash Flow," Journal of Accounting Research, Wiley Blackwell, vol. 32(2), pages 210-223.
• Elgers, Pt & Lo, Mh, 1994. "Reductions In Analysts Annual Earnings Forecast Errors Using Information In Prior Earnings And Security Returns," Journal of Accounting Research, Wiley Blackwell, vol. 32(2), pages 290-303.

1993

• Francis, J & Philbrick, D, 1993. "Analysts Decisions As Products Of A Multitask Environment," Journal of Accounting Research, Wiley Blackwell, vol. 31(2), pages 216-230.
• Boatsman, Jr & Behn, Bk & Patz, Dh, 1993. "A Test Of The Use Of Geographical Segment Disclosures," Journal of Accounting Research, Wiley Blackwell, vol. 31, pages 46-64.
• Saudagaran, Sm, 1993. "A Test Of The Use Of Geographical Segment Disclosures - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 31, pages 65-74.
• M. Bloch & J. Guerard & H. Markowitz & P. Todd & G. Xu, 2020. "A comparison of some aspects of the U.S. and Japanese equity markets," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 3, pages 17-40, World Scientific Publishing Co. Pte. Ltd..
  • Bloch, M. & Guerard, J. & Markowitz, H. & Todd, P. & Xu, G., 1993. "A comparison of some aspects of the U.S. and Japanese equity markets," Japan and the World Economy, Elsevier, vol. 5(1), pages 3-26, May.
• Carsten Kowalczyk & Tomas Sjostrom, 1993. "Bringing GATT into the Core," NBER Working Papers 4343, National Bureau of Economic Research, Inc.

1992

• A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 353-364, September.
• A. G. Malliaris, 2005. "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 6, pages 41-57, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 1992. "Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975," International Review of Financial Analysis, Elsevier, vol. 1(1), pages 77-93.

1991

• Butler, Kc & Lang, Lhp, 1991. "The Forecast Accuracy Of Individual Analysts - Evidence Of Systematic Optimism And Pessimism," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 150-156.
• Mendenhall, Rr, 1991. "Evidence On The Possible Underweighting Of Earnings-Related Information," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 170-179.
• Easton, Pd & Harris, Ts, 1991. "Earnings As An Explanatory Variable For Returns," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 19-36.
• Han, Jcy & Wild, Jj, 1991. "Stock-Price Behavior Associated With Managers Earnings And Revenue Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 79-95.
• Lang, M, 1991. "Time-Varying Stock-Price Response To Earnings Induced By Uncertainty About The Time-Series Process Of Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 229-257.
• Walker, Kb & Mcclelland, La, 1991. "Management Forecasts And Statistical Prediction Model Forecasts In Corporate Budgeting," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 371-381.
• Brown, Ld & Kim, Kj, 1991. "Timely Aggregate Analyst Forecasts As Better Proxies For Market Earnings Expectations," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 382-385.
• Philbrick, Dr & Ricks, We, 1991. "Using Value Line And Ibes Analyst Forecasts In Accounting Research," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 397-417.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1991. "An empirical investigation among real, monetary and financial variables," Economics Letters, Elsevier, vol. 37(2), pages 151-158, October.
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005. "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 4, pages 23-28, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Mullady, Walter Sr. & Malliaris, M. E., 1991. "Interest rates and inflation : A continuous time stochastic approach," Economics Letters, Elsevier, vol. 37(4), pages 351-356, December.
• A. G. Malliaris & Silvana Stefani, 2005. "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 7, pages 59-82, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stefani, Silvana, 1991. "Money, inflation and interest rates: Illustrations from twelve European economies," European Journal of Political Economy, Elsevier, vol. 7(3), pages 275-298, October.

1990

• Ou, Ja, 1990. "The Information-Content Of Nonearnings Accounting Numbers As Earnings Predictors," Journal of Accounting Research, Wiley Blackwell, vol. 28(1), pages 144-163.
• Obrien, Pc, 1990. "Forecast Accuracy Of Individual Analysts In 9 Industries," Journal of Accounting Research, Wiley Blackwell, vol. 28(2), pages 286-325.
• Francis, J, 1990. "Corporate Compliance With Debt Covenants," Journal of Accounting Research, Wiley Blackwell, vol. 28(2), pages 326-347.
• Maines, La, 1990. "The Effect Of Forecast Redundancy On Judgments Of A Consensus Forecasts Expected Accuracy," Journal of Accounting Research, Wiley Blackwell, vol. 28, pages 29-47.
• Lipe, Mg, 1990. "The Effect Of Forecast Redundancy On Judgments Of A Consensus Forecasts Expected Accuracy - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 28, pages 48-54.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 2, pages 9-12, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1990. "How big is the random walks in macroeconomic time series : Variance ratio tests," Economics Letters, Elsevier, vol. 34(2), pages 113-116, October.

1989

• Landsman, Wr & Damodaran, A, 1989. "Using Shrinkage Estimators To Improve Upon Time-Series Model Proxies For The Security Markets Expectation Of Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 27(1), pages 97-115.
• Ou, Ja & Penman, Sh, 1989. "Accounting Measurement, Price Earnings Ratio, And The Information-Content Of Security Prices," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 111-144.
• Larcker, Df, 1989. "Accounting Measurement, Price Earnings Ratios, And The Information-Content Of Security Prices - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 145-152.
• Lev, B, 1989. "On The Usefulness Of Earnings And Earnings Research - Lessons And Directions From 2 Decades Of Empirical-Research," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 153-192.
• Patell, Jm, 1989. "On The Usefulness Of Earnings And Earnings Research - Lessons And Directions From 2 Decades Of Empirical-Research - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 193-201.
• Freeman, Rn & Tse, S, 1989. "The Multiperiod Information-Content Of Accounting Earnings - Confirmations And Contradictions Of Previous Earnings Reports," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 49-79.
• Landsman, Wr, 1989. "The Multiperiod Information-Content Of Accounting Earnings - Confirmation And Contradictions Of Previous Earnings Reports - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 80-84.
• Galy, Michel, 1989. "Banks exposure to market risks," MPRA Paper 62304, University Library of Munich, Germany.

1987

• Fwu-Ranq Chang & A. G. Malliaris, 2005. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 1, pages 3-8, World Scientific Publishing Co. Pte. Ltd..
  • Fwu-Ranq Chang & A. G. Malliaris, 1987. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 169-174.
• Lau, Ahl, 1987. "A 5-State Financial Distress Prediction Model," Journal of Accounting Research, Wiley Blackwell, vol. 25(1), pages 127-138.
• Wild, Jj, 1987. "The Prediction Performance Of A Structural Model Of Accounting Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 25(1), pages 139-160.
• Brown, Ld & Richardson, Gd & Schwager, Sj, 1987. "An Information Interpretation Of Financial Analyst Superiority In Forecasting Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 25(1), pages 49-67.
• Jennings, R, 1987. "Unsystematic Security Price Movements, Management Earnings Forecasts, And Revisions In Consensus Analyst Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 25(1), pages 90-110.

1986

• Rayburn, J, 1986. "The Association Of Operating Cash Flow And Accruals With Security Returns," Journal of Accounting Research, Wiley Blackwell, vol. 24, pages 112-133.
• Jennings, R, 1986. "The Association Of Operating Cash Flow And Accruals With Security Returns - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 24, pages 134-137.

1985

• Casey, C & Bartczak, N, 1985. "Using Operating Cash Flow Data To Predict Financial Distress - Some Extensions," Journal of Accounting Research, Wiley Blackwell, vol. 23(1), pages 384-401.
• Silhan, Pa & Mckeown, Jc, 1985. "Further Evidence On The Usefulness Of Simulated Mergers," Journal of Accounting Research, Wiley Blackwell, vol. 23(1), pages 416-426.

1984

• Kross, W & Schroeder, Da, 1984. "An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 153-176.
• Houghton, Ka, 1984. "Accounting Data And The Prediction Of Business Failure - The Setting Of Priors And The Age Of Data," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 361-368.
• Lorek, Ks & Bathke, Aw, 1984. "A Time-Series Analysis Of Nonseasonal Quarterly Earnings Data," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 369-379.
• Mensah, Ym, 1984. "An Examination Of The Stationarity Of Multivariate Bankruptcy Prediction Models - A Methodological Study," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 380-395.
• Collins, Wa & Hopwood, Ws & Mckeown, Jc, 1984. "The Predictability Of Interim Earnings Over Alternative Quarters," Journal of Accounting Research, Wiley Blackwell, vol. 22(2), pages 467-479.
• Hagerman, Rl & Zmijewski, Me & Shah, P, 1984. "The Association Between The Magnitude Of Quarterly Earnings Forecast Errors And Risk-Adjusted Stock Returns," Journal of Accounting Research, Wiley Blackwell, vol. 22(2), pages 526-540.
• Greenberg, R, 1984. "Adaptive Estimation - An Alternative To The Traditional Stationarity Assumption," Journal of Accounting Research, Wiley Blackwell, vol. 22(2), pages 719-730.
• Johnson, Da & Pany, K, 1984. "Forecasts, Auditor Review, And Bank Loan Decisions," Journal of Accounting Research, Wiley Blackwell, vol. 22(2), pages 731-743.
• Welch, Pr, 1984. "A Generalized Distributed Lag Model For Predicting Quarterly Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 22(2), pages 744-757.

1983

• Pincus, M, 1983. "Information Characteristics Of Earnings Announcements And Stock-Market Behavior," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 155-183.
• Dharan, Bg, 1983. "Identification And Estimation Issues For A Causal Earnings Model," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 18-41.
• Dharan, Bg, 1983. "Empirical Identification Procedures For Earnings Models," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 256-270.
• Abdelkhalik, Ar, 1983. "Overfitting Bias In The Models Assessing The Predictive Power Of Quarterly Reports," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 293-296.
• Frecka, Tj & Lee, Cf, 1983. "Generalized Financial Ratio Adjustment Processes And Their Implications," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 308-316.
• Lorek, Ks & Icerman, Jd & Abdulkader, Aa, 1983. "Further Descriptive And Predictive Evidence On Alternative Time-Series Models For Quarterly Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 317-328.
• Silhan, Pa, 1983. "The Effects Of Segmenting Quarterly Sales And Margins On Extrapolative Forecasts Of Conglomerate Earnings - Extension And Replication," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 341-347.
• Brown, Ld, 1983. "Accounting Changes And The Accuracy Of Analysts Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 21(2), pages 432-443.
• Danos, P & Imhoff, Ea, 1983. "Factors Affecting Auditors Evaluations Of Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 21(2), pages 473-494.

1982

• Hopwood, Ws & Mckeown, Jc & Newbold, P, 1982. "The Additional Information-Content Of Quarterly Earnings Reports - Intertemporal Disaggregation," Journal of Accounting Research, Wiley Blackwell, vol. 20(2), pages 343-349.
• Imhoff, Ea & Pare, Pv, 1982. "Analysis And Comparison Of Earnings Forecast Agents," Journal of Accounting Research, Wiley Blackwell, vol. 20(2), pages 429-439.
• Freeman, Rn & Ohlson, Ja & Penman, Sh, 1982. "Book Rate-Of-Return And Prediction Of Earnings Changes - An Empirical-Investigation," Journal of Accounting Research, Wiley Blackwell, vol. 20(2), pages 639-653.
• Hopwood, Ws & Newbold, P & Silhan, Pa, 1982. "The Potential For Gains In Predictive Ability Through Disaggregation - Segmented Annual Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 20(2), pages 724-732.
• Cogger, K & Ruland, W, 1982. "A Note On Alternative Tests For Independence Of Financial Time-Series," Journal of Accounting Research, Wiley Blackwell, vol. 20(2), pages 733-737.

1981

• Nobes, Cw, 1981. "An Empirical-Analysis Of International Accounting Principles - A Comment," Journal of Accounting Research, Wiley Blackwell, vol. 19(1), pages 268-270.
• Cogger, Ko, 1981. "A Time-Series Analytic Approach To Aggregation Issues In Accounting Data," Journal of Accounting Research, Wiley Blackwell, vol. 19(2), pages 285-298.
• Hopwood, Ws & Mckeown, Jc, 1981. "An Evaluation Of Univariate Time-Series Earnings Models And Their Generalization To A Single Input Transfer-Function," Journal of Accounting Research, Wiley Blackwell, vol. 19(2), pages 313-322.
• Smith, Aj, 1981. "The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects," Journal of Accounting Research, Wiley Blackwell, vol. 19, pages 174-211.
• Alexander, Mo, 1981. "The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 19, pages 212-217.
• Larcker, Df, 1981. "The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 19, pages 218-226.

1980

• Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
• Hopwood, Ws, 1980. "On The Automation Of The Box-Jenkins Modeling Procedures - An Algorithm With An Empirical-Test," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 289-296.
• Hopwood, Ws, 1980. "The Transfer-Function Relationship Between Earnings And Market-Industry Indexes - An Empirical-Study," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 77-90.
• Casey, Cj, 1980. "The Usefulness Of Accounting Ratios For Subjects Predictions Of Corporate Failure - Replication And Extensions," Journal of Accounting Research, Wiley Blackwell, vol. 18(2), pages 603-613.
• Zimmer, I, 1980. "A Lens Study Of The Prediction Of Corporate Failure By Bank Loan Officers," Journal of Accounting Research, Wiley Blackwell, vol. 18(2), pages 629-636.

1979

• Nichols, Dr & Tsay, Jj, 1979. "Security Price Reactions To Long-Range Executive Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 17(1), pages 140-155.
• Lorek, Ks, 1979. "Predicting Annual Net Earnings With Quarterly Earnings Time-Series Models," Journal of Accounting Research, Wiley Blackwell, vol. 17(1), pages 190-204.
• Beaver, Wh & Clarke, R & Wright, Wf, 1979. "Association Between Unsystematic Security Returns And The Magnitude Of Earnings Forecast Errors," Journal of Accounting Research, Wiley Blackwell, vol. 17(2), pages 316-340.
• Brown, Ld & Rozeff, Ms, 1979. "Adaptive Expectations, Time-Series Models, And Analyst Forecast Revision," Journal of Accounting Research, Wiley Blackwell, vol. 17(2), pages 341-351.
• Frank, Wg, 1979. "Empirical-Analysis Of International Accounting Principles," Journal of Accounting Research, Wiley Blackwell, vol. 17(2), pages 593-605.

1978

• Abdelkhalik, Ar & Espejo, J, 1978. "Expectations Data And Predictive Value Of Interim Reporting," Journal of Accounting Research, Wiley Blackwell, vol. 16(1), pages 1-13.
• Lorek, Ks & Mckeown, Jc, 1978. "Effect On Predictive Ability Of Reducing Number Of Observations On A Time-Series Analysis Of Quarterly Earnings Data," Journal of Accounting Research, Wiley Blackwell, vol. 16(1), pages 204-214.
• Thakkar, Rb, 1978. "Association Between Market-Determined And Accounting-Determined Risk Measures - Note," Journal of Accounting Research, Wiley Blackwell, vol. 16(1), pages 215-223.
• Chesley, Gr, 1978. "Subjective-Probability Elicitation Techniques - Performance Comparison," Journal of Accounting Research, Wiley Blackwell, vol. 16(2), pages 225-241.

1977

• Chesley, Gr, 1977. "Subjective-Probability Elicitation - Effect Of Congruity Of Datum And Response Mode On Performance," Journal of Accounting Research, Wiley Blackwell, vol. 15(1), pages 1-11.

1976

• Chesley, Gr, 1976. "Elicitation Of Subjective Probabilities - Laboratory Study In An Accounting Context," Journal of Accounting Research, Wiley Blackwell, vol. 14(1), pages 27-48.

1975

• Libby, R, 1975. "Accounting Ratios And Prediction Of Failure - Some Behavioral Evidence," Journal of Accounting Research, Wiley Blackwell, vol. 13(1), pages 150-161.

1974

• Barnea, A & Sadan, S, 1974. "Decomposition Of Estimation Problem In Financial Accounting," Journal of Accounting Research, Wiley Blackwell, vol. 12(1), pages 197-203.
• Magee, Rp, 1974. "Industry-Wide Commonalities In Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 12(2), pages 270-287.
• Loeb, M, 1974. "Comments On Budget Forecasting And Operating Performance," Journal of Accounting Research, Wiley Blackwell, vol. 12(2), pages 362-366.

1973

• Elliott, Jw & Uphoff, Hl, 1973. "Predicting Near Term Profit And Loss Statement With An Econometric Model - Feasibility Study," Journal of Accounting Research, Wiley Blackwell, vol. 10(2), pages 259-274.
• Samuelso.Ra, 1973. "Prediction And Price-Level Adjustment," Journal of Accounting Research, Wiley Blackwell, vol. 10(2), pages 322-344.
• Harmelin.Pj, 1973. "Empirical Examination Of Predictive Ability Of Alternate Sets Of Insurance Company Accounting Data," Journal of Accounting Research, Wiley Blackwell, vol. 11(1), pages 146-158.
• Foster, G, 1973. "Stock Market Reaction To Estimates Of Earnings Per Share By Company Officials," Journal of Accounting Research, Wiley Blackwell, vol. 11(1), pages 25-37.
• Wilcox, Jw, 1973. "Prediction Of Business Failure Using Accounting Data," Journal of Accounting Research, Wiley Blackwell, vol. 11, pages 163-179.
• Benishay, H & Kinney, Wr, 1973. "Discussion Of A Prediction Of Business Failure Using Accounting Data," Journal of Accounting Research, Wiley Blackwell, vol. 11, pages 180-187.
• Wilcox, Jw, 1973. "Prediction Of Business Failure Using Accounting Data - Comment," Journal of Accounting Research, Wiley Blackwell, vol. 11, pages 188-190.

1972

• Deakin, Eb, 1972. "Discriminant Analysis Of Predictors Of Business Failure," Journal of Accounting Research, Wiley Blackwell, vol. 10(1), pages 167-179.
• Ophir, T, 1972. "Discussion Of Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 102-104.
• Reilly, Fk & Morgenso.Dl & West, M, 1972. "Predictive Ability Of Alternative Parts Of Interim Financial Statements," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 105-124.
• Kennelly, Jw, 1972. "Discussion Of Predictive Ability Of Alternative Parts Of Interim Financial Statements," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 125-131.
• Coates, R, 1972. "Predictive Content Of Interim Reports - Time Series Analysis," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 132-144.
• Barnea, A & Dyckman, T & Magee, R, 1972. "Discussion Of Predictive Content Of Interim Reports - Time Series Analysis," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 145-155.
• Ohlson, J, 1972. "Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 45-84.
• Gonedes, Nj, 1972. "Discussion Of Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach," Journal of Accounting Research, Wiley Blackwell, vol. 10, pages 85-101.

1971

• Kinney, Wr, 1971. "Predicting Earnings - Entity Versus Subentity Data," Journal of Accounting Research, Wiley Blackwell, vol. 9(1), pages 127-136.
• Ronen, J, 1971. "Some Effects Of Sequential Aggregation In Accounting On Decision-Making," Journal of Accounting Research, Wiley Blackwell, vol. 9(2), pages 307-332.
• Wilcox, Jw, 1971. "Simple Theory Of Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 9(2), pages 389-345.

1970

• Lemke, Kw, 1970. "Evaluation Of Liquidity - Analytical Study," Journal of Accounting Research, Wiley Blackwell, vol. 8(1), pages 47-77.
• Brief, Rp & Owen, J, 1970. "Estimation Problem In Financial Accounting," Journal of Accounting Research, Wiley Blackwell, vol. 8(2), pages 167-177.

1969

• Frank, W, 1969. "Study Of Predictive Significance Of 2 Income Measures," Journal of Accounting Research, Wiley Blackwell, vol. 7(1), pages 123-136.
• Demski, Js, 1969. "Predictive Ability Of Alternative Performance Measurement Models," Journal of Accounting Research, Wiley Blackwell, vol. 7(1), pages 96-115.
• Barefield, Rm, 1969. "Comments On A Measure Of Forecasting Performance," Journal of Accounting Research, Wiley Blackwell, vol. 7(2), pages 324-327.

1968

• Ijiri, Y & Kinard, Jc & Putney, Fb, 1968. "Integrated Evaluation System For Budget Forecasting And Operating Performance With A Classified Budgeting Bibliography," Journal of Accounting Research, Wiley Blackwell, vol. 6(1), pages 1-28.
• Parker, Rh, 1968. "Discounted Cash Flow In Historical Perspective," Journal of Accounting Research, Wiley Blackwell, vol. 6(1), pages 58-71.
• Bailey, Ad & Gray, J, 1968. "Study Of Importance Of Planning Horizon On Reports Utilizing Discounted Future Cash Flows," Journal of Accounting Research, Wiley Blackwell, vol. 6(1), pages 98-105.

1966

• Green, D & Segall, J, 1966. "Predictive Power Of 1st-Quarter Earnings Reports - Replication," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 21-36.
• Holton, Tl, 1966. "Predictive Power Of 1st-Quarter Earnings Reports - Replication - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 37-39.
• Welsch, Ga, 1966. "Predictive Power Of 1st-Quarter Earnings Reports - Replication - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 40-43.

1964

• Birnberg, Jg, 1964. "Bayesian Statistics - A Review," Journal of Accounting Research, Wiley Blackwell, vol. 2(1), pages 108-116.

0

• Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 37(103), pages 13-28, Abril.
  • Kapp, Daniel & Vega, Marco, 2012. "Real output costs of financial crises: a loss distribution approach," MPRA Paper 35706, University Library of Munich, Germany.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
  • Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Magomet Yandiev & Alexander Pakhalov, 2013. "The relationship between stock market parameters and interbank lending market: an empirical evidence," Working Papers 0002, Moscow State University, Faculty of Economics.
  • Magomet Yandiev & Alexander Pakhalov, 2013. "The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence," Papers 1309.5703, arXiv.org.
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW Kiel).
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, "undated". "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1331, Athens University of Economics and Business.
• Carlos León Rincón & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 8277, Banco de la Republica.
  • Carlos Leóm & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 648, Banco de la Republica de Colombia.
• García-Suaza, Andrés Felipe & Gómez-González, José E. & Pabón, Andrés Murcia & Tenjo-Galarza, Fernando, 2012. "The cyclical behavior of bank capital buffers in an emerging economy: Size does matter," Economic Modelling, Elsevier, vol. 29(5), pages 1612-1617.
  • Andrés Felipe García-Suaza & Jose Eduardo Gómez-González & Andrés Murcia pabón & Feenando tenjo Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia 8305, Banco de la Republica.
  • Andrés Felipe García-Suaza & José E. Gómez-González & Andrés Murcia Pabón & Fernando Tenjo-Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia 650, Banco de la Republica de Colombia.
• Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 8328, Banco de la Republica.
  • Viviana Alejandra Alfonso & Luis Eduardo Arango & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 651, Banco de la Republica de Colombia.
• Rafael Puyana & Mario Andrés Ramos & Héctor Zárate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a través de la compensación salarial," Borradores de Economia 8337, Banco de la Republica.
  • Rafael Puyana & Mario Andrés Ramos & Héctor Zarate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a través de la compensación salarial," Borradores de Economia 652, Banco de la Republica de Colombia.
• Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 8576, Banco de la Republica.
  • Sebástian Gómez Barrero & Julián A.Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 653, Banco de la Republica de Colombia.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 8577, Banco de la Republica.
• Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 222-245, December.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 222-245, December.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia 8698, Banco de la Republica.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia 656, Banco de la Republica de Colombia.
• Leonardo Gambacorta & Byeungchun Kwon & Taejin Park & Pietro Patelli & Sonya Zhu, 2024. "CB-LMs: language models for central banking," BIS Working Papers 1215, Bank for International Settlements.
• Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER, "undated". "On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications," Swiss Finance Institute Research Paper Series 10-58, Swiss Finance Institute.
• Didier SORNETTE & Ryan WOODARD, 2009. "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Swiss Finance Institute Research Paper Series 09-15, Swiss Finance Institute.
• Didier SORNETTE, 2009. "Dragon-Kings, Black Swans and the Prediction of Crises," Swiss Finance Institute Research Paper Series 09-36, Swiss Finance Institute.
• 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, vol. 74(3), pages 149-162, June.
  • Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, "undated". "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
  • 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," Swiss Finance Institute Research Paper Series 09-39, Swiss Finance Institute.
  • 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 0909.1007, arXiv.org, revised Oct 2009.
• Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER, 2010. "Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms," Swiss Finance Institute Research Paper Series 10-08, Swiss Finance Institute.
• 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, vol. 6(8), pages 1-9, August.
  • Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
  • Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Swiss Finance Institute Research Paper Series 11-05, Swiss Finance Institute.
• Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, 2011. "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-07, Swiss Finance Institute.
  • Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, 2011. "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-08, Swiss Finance Institute.
• Maria PUTINTSEVA, 2011. "Predictive Power of Information Market Prices," Swiss Finance Institute Research Paper Series 11-23, Swiss Finance Institute.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, "undated". "The Role of diversification risk in financial bubbles," Working Papers ETH-RC-11-003, ETH Zurich, Chair of Systems Design.
  • Wanfeng YAN & Ryan WOODARD & Didier SORNETTE, 2011. "Role of diversification risk in financial bubbles," Swiss Finance Institute Research Paper Series 11-26, Swiss Finance Institute.
  • Wanfeng Yan & Ryan Woodard & Didier Sornette, 2011. "Role of Diversification Risk in Financial Bubbles," Papers 1107.0838, arXiv.org.
• Didier Sornette & Ryan Woodard, & Wanfeng Yan & Wei-Xing Zhou, "undated". "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette bubble Model," Working Papers ETH-RC-11-004, ETH Zurich, Chair of Systems Design.
  • Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Swiss Finance Institute Research Paper Series 11-29, Swiss Finance Institute.
  • Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers 1107.3171, arXiv.org, revised Jun 2013.
• 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, vol. 6(9), pages 1-9, September.
  • Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE, 2011. "Investment strategies used as spectroscopy of financial markets reveal new stylized facts," Swiss Finance Institute Research Paper Series 11-30, Swiss Finance Institute.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011. "Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis," Swiss Finance Institute Research Paper Series 11-38, Swiss Finance Institute.
• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  • Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011. "Detecting Informed Trading Activities in the Options Markets," Swiss Finance Institute Research Paper Series 11-42, Swiss Finance Institute.
• Marc S. Paolella, 2011. "Multivariate Asset Return Prediction with Mixture Models," Swiss Finance Institute Research Paper Series 11-52, Swiss Finance Institute.
• Fulvio CORSI & Didier SORNETTE, 2011. "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series 11-60, Swiss Finance Institute.
• Fulvio CORSI & Didier SORNETTE, 2011. "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series 11-61, Swiss Finance Institute.
• Vladimir Filimonov & Didier Sornette, 2012. "Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes," Swiss Finance Institute Research Paper Series 12-02, Swiss Finance Institute.
• Didier Sornette & Alexander I. Saichev, 2012. "A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects," Swiss Finance Institute Research Paper Series 12-08, Swiss Finance Institute.
• Valentina Corradi & Walter Distaso & Antonio Mele, 2012. "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series 12-18, Swiss Finance Institute.
• Maria Putintseva, 2012. "Mixture Normal Conditional Correlation Models," Swiss Finance Institute Research Paper Series 12-41, Swiss Finance Institute.
• Didier SORNETTE & Peter CAUWELS, 2014. "Financial Bubbles: Mechanisms and Diagnostics," Swiss Finance Institute Research Paper Series 14-28, Swiss Finance Institute.
• Jochen KRAUSE & Marc S. PAOLELLA, 2014. "A Fast, Accurate Method for Value at Risk and Expected Shortfall," Swiss Finance Institute Research Paper Series 14-40, Swiss Finance Institute.
• Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE, 2014. "Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland," Swiss Finance Institute Research Paper Series 14-44, Swiss Finance Institute.
• Matthias LEISS & Heinrich H. NAX & Didier SORNETTE, 2014. "Super-Exponential Growth Expectations and the Global Financial Crisis," Swiss Finance Institute Research Paper Series 14-52, Swiss Finance Institute, revised Sep 2015.
• Eric JONDEAU & Qunzi ZHANG, 2014. "Asymmetric Beta Comovement and Systematic Downside Risk," Swiss Finance Institute Research Paper Series 14-59, Swiss Finance Institute.
• Oliver D. Bunn & Robert J. Shiller, "undated". "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
  • Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
• Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
  • Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: what gain for investors?," Working Papers fe_2013_02, Deakin University, Department of Economics.
• Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
  • Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Working Papers fe_2014_08, Deakin University, Department of Economics.
• Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014. "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 44-61.
  • Narayan, Paresh Kumar & Ali Ahmed, Huson & Sharma, Susan Sunila & Prabheesh, K. P., 2014. "How profitable is the Indian stock market?," Working Papers fe_2014_14, Deakin University, Department of Economics.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Energy Economics, Elsevier, vol. 50(C), pages 391-402.
  • Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Working Papers fe_2015_05, Deakin University, Department of Economics.
• Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Energy Economics, Elsevier, vol. 48(C), pages 18-23.
  • Paresh K. Narayan & Rangan Gupta, 2014. "Has Oil Pirce Predicted Stock Returns for Over a Century?," Working Papers 201446, University of Pretoria, Department of Economics.
  • Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Working Papers fe_2015_08, Deakin University, Department of Economics.
• Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  • Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: some new evidence," Working Papers fe_2015_13, Deakin University, Department of Economics.
• Francesco Guidi & Rakesh Gupta, "undated". "2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors," Discussion Papers in Finance finance:201214, Griffith University, Department of Accounting, Finance and Economics.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  • Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Mario Maggi & Maria-Laura Torrente & Pierpaolo Uberti, 0. "Proper measures of connectedness," Annals of Finance, Springer, vol. 0, pages 1-25.
• Louie Ren & Peter Ren, 0. "On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 0, pages 1-16.
• Tania Morris & Jules Comeau, 0. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 0, pages 1-31.
• Guglielmo Maria Caporale & Alex Plastun, 0. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 0, pages 1-16.
  • Guglielmo Maria Caporale & Alex Plastun, 2019. "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series 7917, CESifo.
• Lu Zhang & Yuan George Shan & Millicent Chang, 0. "Can CSR Disclosure Protect Firm Reputation During Financial Restatements?," Journal of Business Ethics, Springer, vol. 0, pages 1-28.
• Ryan G. Chacon & Dan W. French & Kuntara Pukthuanthong, 0. "The Information Content of NAV Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 0, pages 1-32.
• Maxim Ulrich & Simon Walther, 0. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 0, pages 1-33.
• Dimitrios Koutmos & James E. Payne, 0. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-27.
• A. Hachicha & F. Hachicha, 0. "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-27.
• Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 0. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-41.
• Parthajit Kayal & Sumanjay Dutta & Vipul Khandelwal, "undated". "Information Theoretic Ranking of Extreme Value Returns," Working Papers 2020-195, Madras School of Economics,Chennai,India.
• Matthew Bell, 2021. "Golden Years - Understanding the New Zealand Superannuation Fund," Treasury Working Paper Series 21/01, New Zealand Treasury.
• Amane Saito, 2022. "Volatility Analysis of ESG-integrated Japanese Equity Indices," Discussion Papers in Economics and Business 21-27, Osaka University, Graduate School of Economics.
• Amane Saito & Hisashi Tanizaki, 2022. "Volatility Analysis of Sustainability-Themed Japanese Equity Indices," Discussion Papers in Economics and Business 22-01, Osaka University, Graduate School of Economics.
• Andrea Bucci, 2020. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Andrea Bucci, 0. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Bucci, Andrea, 2019. "Realized Volatility Forecasting with Neural Networks," MPRA Paper 95443, University Library of Munich, Germany.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 2020. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
  • Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019. "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive 2019_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Augustin Landier & David Thesmar & Jeffrey Pontiff, 0. "Earnings Expectations during the COVID-19 Crisis," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 598-617.
• Prachi Deuskar & Nitin Kumar & Jeramia Allan Poland, 0. "Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions," Review of Finance, European Finance Association, vol. 24(5), pages 1039-1077.
• Philipp Adämmer & Rainer A Schüssler, 0. "Forecasting the Equity Premium: Mind the News!," Review of Finance, European Finance Association, vol. 24(6), pages 1313-1355.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 0. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-19.
• Ian Laker & Chun-Kai Huang & Allan Ernest Clark, 2017. "Dependent bootstrapping for value-at-risk and expected shortfall," Risk Management, Palgrave Macmillan, vol. 19(4), pages 301-322, November.
• Andrés Berenguer & Luis Gandarias & Álvaro Arévalo, 0. "Singular spectrum analysis for modelling the hard-to-model risk factors," Risk Management, Palgrave Macmillan, vol. 0, pages 1-14.
• Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2023. "Tail risks and forecastability of stock returns of advanced economies: evidence from centuries of data," The European Journal of Finance, Taylor & Francis Journals, vol. 29(4), pages 466-481, March.
  • Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers 202117, University of Pretoria, Department of Economics.
• Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 111-122, January.
  • Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021. "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers 202118, University of Pretoria, Department of Economics.
• Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
  • Ryuichi Yamamoto & Hideaki Hirata, "undated". "Strategy Switching in the Japanese Stock Market," Working Paper 164466, Harvard University OpenScholar.
• Jingwei Pan, 0000. "Evaluating Correlation Forecasts Under Asymmetric Loss," Proceedings of Economics and Finance Conferences 11413234, International Institute of Social and Economic Sciences.
• Avraham Turgeman & Claudiu Botoc & Marilen Pirtea & Octavian Jude, 0000. "Modelling Intraday Realized Volatility: The Role Of Vix, Oil And Gold," Proceedings of Economics and Finance Conferences 14115804, International Institute of Social and Economic Sciences.
• Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  • Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  • Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  • Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
• Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 0. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 0, pages 1-19.
• Dimitrios Koutmos, 0. "Market risk and Bitcoin returns," Annals of Operations Research, Springer, vol. 0, pages 1-25.
• Alessandra Cretarola & Gianna Figà-Talamanca, 0. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 0, pages 1-21.
• Laura Garcia-Jorcano & Alfonso Novales, 0. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 0, pages 1-38.
  • Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 0. "Forecasting S&P 500 spikes: an SVM approach," Digital Finance, Springer, vol. 0, pages 1-18.
• Wali Ullah, 0. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 0, pages 1-42.
• Nima Nonejad, 0. "Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions," Empirical Economics, Springer, vol. 0, pages 1-37.
• Yoichi Tsuchiya, 0. "Crises, market shocks, and herding behavior in stock price forecasts," Empirical Economics, Springer, vol. 0, pages 1-27.
• Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 0. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 0, pages 1-26.
• Robert Azencott & Peng Ren & Ilya Timofeyev, 0. "Realised volatility and parametric estimation of Heston SDEs," Finance and Stochastics, Springer, vol. 0, pages 1-33.
• Thomas Hauner, 0. "Aggregate wealth and its distribution as determinants of financial crises," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 0, pages 1-20.
• Parthajit Kayal & Sumanjay Dutta & Vipul Khandelwal & Rakesh Nigam, 0. "Information Theoretic Ranking of Extreme Value Returns," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 0, pages 1-21.
• 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, vol. 74(3), pages 149-162, June.
  • Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, "undated". "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
  • 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 0909.1007, arXiv.org, revised Oct 2009.
  • 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," Swiss Finance Institute Research Paper Series 09-39, Swiss Finance Institute.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, "undated". "The Role of diversification risk in financial bubbles," Working Papers ETH-RC-11-003, ETH Zurich, Chair of Systems Design.
  • Wanfeng Yan & Ryan Woodard & Didier Sornette, 2011. "Role of Diversification Risk in Financial Bubbles," Papers 1107.0838, arXiv.org.
  • Wanfeng YAN & Ryan WOODARD & Didier SORNETTE, 2011. "Role of diversification risk in financial bubbles," Swiss Finance Institute Research Paper Series 11-26, Swiss Finance Institute.
• Didier Sornette & Ryan Woodard, & Wanfeng Yan & Wei-Xing Zhou, "undated". "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette bubble Model," Working Papers ETH-RC-11-004, ETH Zurich, Chair of Systems Design.
  • Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers 1107.3171, arXiv.org, revised Jun 2013.
  • Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Swiss Finance Institute Research Paper Series 11-29, Swiss Finance Institute.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • 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 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • 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-F-643, CIRJE, Faculty of Economics, University of Tokyo.
  • 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 767, Kyoto University, Institute of Economic Research.
• Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  • Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
• Burcu Bahcecı Baskurt & Şaban Çelik, 0. "Contıngent Claıms Analysıs as a Credıt Rısk Metrıc: Evıdence from Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 0(0), pages 1-30.

• Ján Malega & Roman Horváth, . "Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-12.
• Ivan Jaccard & Frank Smets, 2020. "Structural Asymmetries and Financial Imbalances in the Eurozone," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 73-102, April.
  • Jaccard, Ivan & Smets, Frank, 2017. "Structural asymmetries and financial imbalances in the eurozone," Working Paper Series 2076, European Central Bank.
  • Ivan Jaccard & Frank Smets, 2019. "Online Appendix to "Structural Asymmetries and Financial Imbalances in the Eurozone"," Online Appendices 18-135, Review of Economic Dynamics.
  • Ivan Jaccard & Frank Smets, 2019. "Code and data files for "Structural Asymmetries and Financial Imbalances in the Eurozone"," Computer Codes 18-135, Review of Economic Dynamics.
• Robert Barro & Tao Jin, 2021. "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
  • Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
  • Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.
  • Robert J. Barro & Tao Jin, 2016. "Rare events and long-run risks," AEI Economics Working Papers 905253, American Enterprise Institute.
  • Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
  • Robert Barro & Tao Jin, 2020. "Code and data files for "Rare Events and Long-Run Risks"," Computer Codes 18-485, Review of Economic Dynamics.
• Michel Alexandre & Giovani A. S. Brito & Theo C. Martins, . "Default contagion among credit modalities: evidence from Brazilian data," Journal of Credit Risk, Journal of Credit Risk.
  • Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, . "Modeling conditional correlations for risk diversification in crude oil markets," Journal of Energy Markets, Journal of Energy Markets.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Sebastian Letmathe & Yuanhua Feng & André Uhde, . "Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall," Journal of Risk, Journal of Risk.
  • Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021. "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE 141, Paderborn University, CIE Center for International Economics.
• Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe, . "Volatility forecasting: the role of internet search activity and implied volatility," Journal of Risk Model Validation, Journal of Risk Model Validation.
  • Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
• Guglielmo Maria Caporale & Alex Plastun, . "Abnormal returns and stock price movements: some evidence from developed and emerging markets," Journal of Investment Strategies, Journal of Investment Strategies.
  • Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.
• Daniel Felix Ahelegbey, . "The econometrics of Bayesian graphical models: a review with financial application," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
  • Ahelegbey, Daniel Felix, 2015. "The Econometrics of Bayesian Graphical Models: A Review With Financial Application," MPRA Paper 92634, University Library of Munich, Germany, revised 25 Apr 2016.
• J. Piplack, 2009. "Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model," Working Papers 09-08, Utrecht School of Economics.
• J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.