Research classified by Journal of Economic Literature (JEL) codes

---

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

---

Most recent items first, undated at the end.

---

2015 Heteroeneous forecasters and nonlinear expectation formation in US stock market
by Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph

2015 Bivariate GARCH models for single asset returns
by Tomasz Skoczylas

2015 On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
by Stelios Bekiros & Rangan Gupta & Clement Kyei

2015 Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
by Stelios Bekiros & Rangan Gupta

2015 A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
by Bonga-Bonga, Lumengo & Mwamba, Muteba

2015 Forecasting the yield curve: art or science?
by Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A.

2015 Comonotonic Monte Carlo and its applications in option pricing and quantification of risk
by Alain Chateauneuf & Mina Mostoufi & David Vyncke

2015 Equity Premium Prediction: Are Economic and Technical Indicators Instable?
by Fabian Baetje & Lukas Menkhoff

2015 Risk Aggregation with Copula for Banking Industry
by Toshinao Yoshiba

2015 Distillation of News Flow into Analysis of Stock Reactions
by Junni L. Zhang & Wolfgang K. Härdle & Cathy Y. Chen & Elisabeth Bommes

2015 Risks in macroeconomic fundamentals and excess bond returns predictability
by De Rezende, Rafael B.

2015 Long-Term Price Overreactions: Are Markets Inefficient?
by Guglielma Maria Caporale & Luis Gil-Alana & Alex Plastun

2015 Origins of Stock Market Fluctuations
by Greenwald, Daniel L. & Lettau, Martin & Ludvigson, Sydney

2015 A forecast evaluation of expected equity return measures
by Chin, Michael & Polk, Christopher

2015 Unbalanced Regressions and the Predictive Equation
by Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés

2015 Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang

2015 Assessing Credit Default using Logistic Regression and Multiple Discriminant Analysis: Empirical Evidence from Bosnia and Herzegovina
by Deni Memic

2015 Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models
by Chaker Aloui & Hela BEN HAMIDA

2015 Managing extreme risk in some major stock markets: An extreme value approach
by Karmakar, Madhusudan & Shukla, Girja K.

2015 Robustness of distance-to-default
by Jessen, Cathrine & Lando, David

2015 The prediction of fund failure through performance diagnostics
by Cogneau, Philippe & Hübner, Georges

2015 An Analysis on The Socio-Economic and Demographic Factors That Have an Effect on The Risk Taking Preferences of Personal Investors
by Fatih B. GUMUS & Yusuf DAYIOGLU

2014 Has Oil Pirce Predicted Stock Returns for Over a Century?
by Paresh K. Narayan & Rangan Gupta

2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
by Goodness C. Aye & Frederick W. Deale & Rangan Gupta

2014 Us Bank Holding Companies: Structure Of Activities And Performance Through The Cycles
by Albert, Stéphane

2014 Figures that Matter in Cash Flows Forecast
by Anamaria CIOBANU

2014 Obtaining and Predicting the Bounds of Realized Correlations
by Lidan Grossmass

2014 Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter
by Maldonado, Rogelio & Zapata, Natalia & Pantoja, Javier

2014 Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models
by Lakshina, Valeriya

2014 Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida
by Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario.

2014 The effects of a low interest rate environment on life insurers
by Berdin, Elia & Gründl, Helmut

2014 The effects of a low interest rate environment on life insurers
by Berdin, Elia & Gründl, Helmut

2014 A calibration procedure for analyzing stock price dynamics in an agent-based framework
by Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro

2014 Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
by Žikeš, Filip & Baruník, Jozef

2014 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
by Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan

2014 Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
by Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph

2014 Last Success Problem: Decision Rule and Application
by Kohn, Wolfgang

2014 Stop Waiting Problem: Decision Rule with Ψ function and Application with Share Prices
by Kohn, Wolfgang

2014 Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception
by Bosman, Ronald & Kräussl, Roman & van Galen, Thomas

2014 Risk-adjusted option-implied moments
by Brinkmann, Felix & Korn, Olaf

2014 Forward-looking measures of higher-order dependencies with an application to portfolio selection
by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

2014 Portfolio optimization using forward-looking information
by Kempf, Alexander & Korn, Olaf & Saßning, Sven

2014 Strategic coordination in forecasting: An experimental study
by Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus

2014 Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching
by Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan

2014 How is the low-interest-rate environment affecting the solvency of German life insurers?
by Kablau, Anke & Weiß, Matthias

2014 Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?
by Kablau, Anke & Weiß, Matthias

2014 Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

2014 Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection
by Florian Mueller

2014 A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
by Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

2014 Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability
by Buncic, Daniel & Piras, Gion Donat

2014 Forecasting Copper Prices with Dynamic Averaging and Selection Models
by Buncic, Daniel & Moretto, Carlo

2014 Forecasting Realized Volatility Using Subsample Averaging
by Tae-Hwy Lee & Huiyu Huang

2014 Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
by Tae-Hwy Lee & Yundong Tu & Aman Ullah

2014 Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
by Tae-Hwy Lee & Yundong Tu & Aman Ullah

2014 Linking the problems of estimating and allocating unconditional capital
by Alex Ferrer & José Casals & Sonia Sotoca

2014 A Stochastic Dominance Approach to Financial Risk Management Strategies
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral

2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

2014 Exponential Smoothing, Long Memory and Volatility Prediction
by Tommaso Proietti

2014 Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
by Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel

2014 Maximum entropy estimator for the predictability of energy commodity market time series
by Francesco Benedetto & Gaetano Giunta & Loretta Mastroeni

2014 A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries
by Albu, Lucian Liviu & Lupu, Radu & Calin, Cantemir

2014 Exchange Rate Predictability in a Changing World
by Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro

2014 Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
by Jiahan Li & Ilias Tsiakas & Wei Wang

2014 Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
by Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel

2014 Foreign Exchange Risk and the Predictability of Carry Trade Returns
by Gino Cenedese & Lucio Sarno & Ilias Tsiakas

2014 How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns
by Eirini Konstantinidi & George Skiadopoulos

2014 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
by Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta

2014 Акции С Наибольшей Доходностью
by Sinchugova, Regina

2014 On the Bank Stocks Return and Volatility: Tale of a South Asian Economy
by Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid

2014 Bayesian Semiparametric Modeling of Realized Covariance Matrices
by Jin, Xin & Maheu, John M

2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009
by Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna

2014 Rescate y costos del riesgo financiero
by Estrada, Fernando

2014 Predictable markets? A news-driven model of the stock market
by Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim

2014 Financial crisis in The Arcades Project of Walter Benjamin
by Estrada, Fernando

2014 Multi-jumps
by Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto

2014 Euro Exchange Rate Forecasting with Differential Neural Networks with an Extended Tracking Procedure
by Ortiz-Arango, Francisco & Cabrera-Llanos, Agustín I. & Venegas-Martínez, Francisco

2014 Exponential Smoothing, Long Memory and Volatility Prediction
by Proietti, Tommaso

2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M.

2014 Forecasting conditional volatility on the RIN market using MS GARCH model
by Kakorina, Ekaterina

2014 Predictive Power of Aggregate Short Interest
by Yu, Eric Jinsan

2014 Capital Asset Pricing Model and Stochastic Volatility: A Case study of India
by Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu

2014 Systemic Liquidity Crisis with Dynamic Haircuts
by Sever, Can

2014 Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
by Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco

2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Exchange Rate Predictability in a Changing World
by Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J

2014 Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
by Demiralay, Sercan & Ulusoy, Veysel

2014 Factor High-Frequency Based Volatility (HEAVY) Models
by Kevin Sheppard

2014 Four Centuries of Return Predictability
by Benjamin Golez & Peter Koudijs

2014 Growth Expectations, Dividend Yields, and Future Stock Returns
by Zhi Da & Ravi Jagannathan & Jianfeng Shen

2014 Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
by Oliver D. Bunn & Robert J. Shiller

2014 Risk Appetite in Practice: Vulgaris Mathematica
by Bertrand K Hassani

2014 Portfolio management of mixed-species forests
by Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey

2014 The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses
by Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz

2014 Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
by Christian Pierdzioch & Stefan Reitz & Jan-Christoph Ruelke

2014 A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market
by Pyo, Dong-Jin

2014 Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
by Riadh Aloui & Mohamed Safouane Ben Aïssa & Duc Khuong Nguyen

2014 Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

2014 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN

2014 Predicting and Capitalizing on Stock Market Bears in the U.S
by Bertrand Candelon & Jameel Ahmed & Stefan Straetmans

2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen

2014 A fear index to predict oil futures returns
by Julien Chevallier & Benoit Sevi

2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen

2014 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
by Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta

2014 Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation
by Dorra Najar

2014 The imprecision of volatility indexes
by Rohini Grover & Ajay Shah

2014 Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
by Thijs Benschopa & Brenda López Cabrera & &

2014 Adaptive Order Flow Forecasting with Multiplicative Error Models
by Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting &

2014 On Linearity Of Transaction Costs In Order Driven Market
by Nikolay A. Andreev

2014 The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?
by Valeria V. Lakshina

2014 The Effectiveness Of Different Trading Strategies For Price-Takers
by Liudmila G. Egorova

2014 Asymmetric exchange-rate exposure in BRIC countries
by Dranev Yury & Maxim Babushkin

2014 Money management with optimal stopping of losses for maximizing the returns of futures trading
by Lundström, Christian

2014 Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao

2014 Exchange Rate Predictability in a Changing World
by Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro

2014 Option-implied term structures
by Vogt, Erik

2014 Simple and reliable way to compute option-based risk-neutral distributions
by Malz, Allan M.

2014 The capital and loss assessment under stress scenarios (CLASS) model
by Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru

2014 Mandatory Disclosure and Financial Contagion
by Alvarez, Fernando & Barlevy, Gadi

2014 Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations
by Lansing, Kevin J. & Ma, Jun

2014 Economic & Financial Highlights Economists Inflation Project Publications Research Centers Seminars Small Business Focus The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities
by Adelino, Manuel & Frame, W. Scott & Gerardi, Kristopher S.

2014 Estimation of Long Memory in Volatility Using Wavelets
by Jozef Baruník & Lucie Kraicová

2014 Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility
by Jozef Baruník & Tomáš Køehlík

2014 Short-Term Price Overreaction: Identification, Testing, Exploitation
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun

2014 Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles
by Helmut Herwartz & Konstantin A. Kholodilin

2014 John Doe's Old-Age Provision: Dollar Cost Averaging and Time Diversification
by Dirk Ulbricht

2014 Outliers in multivariate Garch models
by Aurea Grané & Belén Martín-Barragán & Helena Veiga

2014 Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception
by Roman Kräussl & Ronald Bosman & Thomas van Galen

2014 Forecasting Exchange Rates under Model and Parameter Uncertainty
by Joscha Beckmann & Rainer Schüssler

2014 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
by Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano

2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
by Gargano, Antonio & Pettenuzzo, Davide & Timmermann, Allan G

2014 Estimation and empirical performance of non-scalar dynamic conditional correlation models
by BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo

2014 La Administración Cuantitativa del Riesgo Financiero en la provisión de un Plan de Salud
by Carlos Castro Iragorri

2014 Las acciones como activo de reserva para el Banco de la República
by Mario Alejandro Acosta R.

2014 Short-Term Price Overreactions: Identification, Testing, Exploitation
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun

2014 Jump Processes in Natural Gas Markets
by Charles F. Mason & Neil Wilmot

2014 Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes
by Hynek Lavicka & Tomas Lichard & Jan Novotny

2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

2014 Budgetary Estimates for the Single-Family Mortgage Guarantee Program of the Federal Housing Administration
by Congressional Budget Office

2014 A Compound Multifractal Model for High-Frequency Asset Returns
by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin

2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
by Davide Pettenuzzo & Antonio Gargano & Allan Timmermann

2014 On corporate financial distress prediction: what can we learn from private firms in a small open economy?
by Evangelos C. Charalambakis

2014 Endogenous Derivative Networks
by Vuillemey, G. & Breton, R.

2014 Two EGARCH models and one fat tail
by Michele Caivano & Andrew Harvey

2014 Time series models with an EGB2 conditional distribution
by Michele Caivano & Andrew Harvey

2014 Predicting Financial Stress Events: A Signal Extraction Approach
by Ian Christensen & Fuchun Li

2014 Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis

2014 Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
by Massimiliano Caporin & Luca Corazzini & Michele Costola

2014 ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
by Michael Creel & Dennis Kristensen

2014 A Comparion of the Performances of Type A Mutual Funds Before and After 2008 Global Economic Crisis in Turkey
by Başçi, Eşref Savaş & Memiş, Fatih

2014 How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia
by Mikhail Stolbov

2014 A Mixed Frequency Analysis Of Connections Between Macroeconomic Variables And Stock Markets In Central And Eastern Europe
by LUPU, Radu & CALIN, Adrian Cantemir

2014 R&D Subsidies and Company Performance: Evidence from Geographic Variation in Government Funding Based on the ERDF Population-Density Rule
by Elias Einiö

2014 Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns
by Radu Lupu

2014 Increasing Financial Audit Quality Using A New Model To Estimate Financial Performance
by Iulian Viorel Brasoveanu & Florin Dobre & Laura Brad

2014 The Impact of Central Bank Interest Rate Releases on Financial Markets
by Soylu, Neilan & Korkmaz, Turhan & Çevik, Emrah İsmail

2014 Comparison of Value at Risk Calculation Models in Terms of Banks’ Capital Adequacy Ratio
by Bostancı, Ahmet & Korkmaz, Turhan

2014 An Experimental Study of Overconfidence in Accounting Numbers Predictions
by Sasson Bar-Yosef & Itzhak Venezia

2014 Modelling of football companies' rates of return according to sport results and bookmakers' expectations on the example of serie A
by Sebastian Majewski

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
by Pawel Antonowicz

2014 Efficiency measurement in Turkish manufacturing sector using data envelopment analysis (DEA) and artificial neural networks (ANN)
by Ömer Akgöbek. & Emre Yakut.

2014 Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012
by Eþref Savaþ BAÞÇI & Öznur SAKINÇ

2014 Testing the Market Model – A Case Study of Fondul Proprietatea (FP)
by Sorin Claudiu Radu

2014 Global financial crisis and contagion: evidence for the Ebrici economies
by Krishna Reddy Chittedi*

2014 Does Human Psychology Drive Financial Markets? Evidence from International Markets
by Abderrazak Dhaoui & Naceur Khraief

2014 Modeling Risk Convevergence for European Financial Markets
by Radu Lupu & Adrian Cantemir Calin & Iulian Lupu & Oana Cristina Popovici

2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
by Ozge KORKMAZ & Suleyman Serdar KARACA

2014 The output gap and expected security returns
by Biswas, Anindya

2014 The predictability of aggregate returns on commodity futures
by Lutzenberger, Fabian T.

2014 Non-parametric analysis of equity arbitrage
by Vortelinos, Dimitrios I.

2014 A new approach to model and forecast volatility based on extreme value of asset prices
by Kumar, Dilip & Maheswaran, S.

2014 How profitable is the Indian stock market?
by Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh

2014 Stock returns, mutual fund flows and spillover shocks
by Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh

2014 Are Japanese short sellers information detectives?
by Lee, Bong-Soo & Ko, Kwangsoo

2014 Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
by Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E.

2014 Disagreement and asset prices
by Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle

2014 Composition of wealth, conditioning information, and the cross-section of stock returns
by Roussanov, Nikolai

2014 Second-order beliefs and the individual investor
by Egan, Daniel & Merkle, Christoph & Weber, Martin

2014 Forecasting US recessions: The role of sentiment
by Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther

2014 Semiparametric estimation of multi-asset portfolio tail risk
by Dias, Alexandra

2014 Interest rate forecasts, state price densities and risk premium from Euribor options
by Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

2014 Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
by Bernales, Alejandro & Guidolin, Massimo

2014 Long-term U.S. infrastructure returns and portfolio selection
by Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F.

2014 Foreign exchange risk and the predictability of carry trade returns
by Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias

2014 Investor sentiment and return predictability of disagreement
by Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won

2014 Contrarian flows, consumption and expected stock returns
by Zhang, Yuzhao

2014 Investor attention, index performance, and return predictability
by Vozlyublennaia, Nadia

2014 An analysis of price discovery from panel data models of CDS and equity returns
by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan

2014 Loss given default for leasing: Parametric and nonparametric estimations
by Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen

2014 The empirical similarity approach for volatility prediction
by Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema

2014 The importance of the volatility risk premium for volatility forecasting
by Prokopczuk, Marcel & Wese Simen, Chardin

2014 Default prediction with dynamic sectoral and macroeconomic frailties
by Chen, Peimin & Wu, Chunchi

2014 Ultimate recovery mixtures
by Altman, Edward I. & Kalotay, Egon A.

2014 Dynamic prediction of hedge fund survival in crisis-prone financial markets
by Lee, Hee Soo & Kim, Tae Yoon

2014 The interactions between China and US stock markets: New perspectives
by Ye, George L.

2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia

2014 Predicting financial stress events: A signal extraction approach
by Christensen, Ian & Li, Fuchun

2014 Reflecting on the VPIN dispute
by Andersen, Torben G. & Bondarenko, Oleg

2014 VPIN and the flash crash
by Andersen, Torben G. & Bondarenko, Oleg

2014 Optimal portfolio choice for investors with industry-specific labor income risks
by Tsai, Hui-Ju & Wu, Yangru

2014 Shortage function and portfolio selection: On some special cases and extensions
by Briec, Walter & Oms, Laurence & Paget-Blanc, Eric

2014 Are stock markets really so inefficient? The case of the “Halloween Indicator”
by Dichtl, Hubert & Drobetz, Wolfgang

2014 Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
by Avino, Davide & Nneji, Ogonna

2014 Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
by Liu, Lu

2014 The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals
by Lin, L. & Ren, R.E. & Sornette, D.

2014 Hedging crude oil using refined product: A regime switching asymmetric DCC approach
by Pan, Zhiyuan & Wang, Yudong & Yang, Li

2014 Modeling the daily electricity price volatility with realized measures
by Frömmel, Michael & Han, Xing & Kratochvil, Stepan

2014 Forecasting energy markets using support vector machines
by Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios

2014 The switching relationship between natural gas and crude oil prices
by Brigida, Matthew

2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
by Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong

2014 Predicting volatility and correlations with Financial Conditions Indexes
by Opschoor, Anne & van Dijk, Dick & van der Wel, Michel

2014 VaR performance during the subprime and sovereign debt crises: An application to emerging markets
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier

2014 How to foresee banking crises? A survey of the empirical literature
by Kauko, Karlo

2014 Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US
by Bhargava, Alok

2014 The nonlinear price dynamics of U.S. equity ETFs
by Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin

2014 Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
by Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman

2014 Are lifecycle funds appropriate as default options in participant-directed retirement plans?
by Basu, Anup K. & Chen, En Te & Clements, Adam

2014 Non-linear volatility dynamics and risk management of precious metals
by Demiralay, Sercan & Ulusoy, Veysel

2014 The asymmetric predictability of high-yield bonds
by Zhang, Tai-Wei & Wu, Wei-Hwa

2014 The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
by Todorova, Neda & Souček, Michael

2014 Quadratic hedging schemes for non-Gaussian GARCH models
by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo

2014 Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
by Lee, Yongwoong & Poon, Ser-Huang

2014 Uluslararasý Portföy Yönetiminde Rejim Geçiþken Karar Destek Modelleri: Geliþmekte Olan Menkul Kýymet Piyasalarý Üzerine Bir Uygulama
by Kadir Tuna & Mehmet Tuna & Alper Ozun

2014 Long Memory Analysis: An Empirical Investigation
by Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri

2014 Real output costs of financial crises: A loss distribution approach
by Daniel Kapp & Marco Vega

2014 The Use of Discriminant Analysis to Predict the Bankruptcy of Companies Listed on the NewConnect Market
by Magdalena Mosionek-Schweda

2014 Valoración de opciones reales a través de equivalentes de certeza
by Cecilia Maya Ochoa, Juliin Pareja Vasseur

2014 Editorial CE 63
by Mario García Molina

2014 Research Funding After The Economic Crisis.Comparative Study
by Mircea-Iosif RUS & Andreea HEGYI & Mircea-Ioan PASTRAV

2014 Solvency vs. liquidity. A decomposition of European banks' credit risk over the business cycle
by Guillaume Vuillemey

2014 Price jumps on European stock markets
by Jan Hanousek & Evzen Kocenda & Jan Novotny

2014 International Credit Cycles: A Regional Perspective
by Mikhail Stolbov

2014 Measuring The Efficiency In The Romanian Banking System Through The Method Of The Data Envelopment Analysis (Dea)
by Alina Georgiana Manta & Roxana Maria Badîrcea

2014 Speculative Asset Prices
by Robert J. Shiller

2014 Two Pillars of Asset Pricing
by Eugene F. Fama

2013 Forward-looking measures of higher-order dependencies with an application to portfolio selection
by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

2013 Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
by Ming Lin & Changjiang Liu & Linlin Niu

2013 Financial Conditions Indexes for Asian Economies
by Debuque-Gonzales , Margarita & Gochoco-Bautista, Maria Socorro

2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

2013 The Trouble with Rates in the Subdivision Development Method to Land Valuation
by Brian J. CURRY

2013 Romania, the Next Frontier for Wind Power
by P. Barton DELACY & Eric M. ROSS

2013 The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data
by Stefano Schiaffi

2013 A Stochastic Model for Natural Gas Consumption: An Application for Turkey
by Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ

2013 GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama
by Önder BÜBERKÖKÜ

2013 A latent dynamic factor approach to forecasting multivariate stock market volatility
by Gribisch, Bastian

2013 Option-implied information and predictability of extreme returns
by Vilkovz, Grigory & Xiaox, Yan

2013 Which beta is best? On the information content of option-implied betas
by Baule, Rainer & Korn, Olaf & Saßning, Sven

2013 Anchoring: A valid explanation for biased forecasts when rational predictions are easily accessible and well incentivized?
by Meub, Lukas & Proeger, Till & Bizer, Kilian

2013 Price Jumps on European Stock Markets
by Jan Hanousek & Evžen Kočenda & Jan Novotný

2013 Price Jump Indicators: Stock Market Empirics During the Crisis
by Jan Novotný & Jan Hanousek & Evžen Kočenda

2013 The pricing of options on WIG20 using GARCH models
by Szymon Kamiński

2013 Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox
by Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

2013 Extreme Downside Liquidity Risk
by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian

2013 In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
by Weigert, Florian

2013 Crash Sensitivity and the Cross-Section of Expected Stock Returns
by Ruenzi, Stefan & Weigert, Florian

2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias

2013 The relationship between stock market parameters and interbank lending market: an empirical evidence
by Magomet Yandiev & Alexander Pakhalov

2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer

2013 The impact of jumps and thin trading on realized hedge ratios
by Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla

2013 South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
by Nico Katzke

2013 Mining Big Data Using Parsimonious Factor and Shrinkage Methods
by Hyun Hak Kim & Norman Swanson

2013 Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility
by Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan

2013 Risk Preferences and Estimation Risk in Portfolio Choice
by Hao Liu & Winfried Pohlmeier

2013 On the Benefits of Equicorrelation for Portfolio Allocation
by Adam Clements & Ayesha Scott & Annastiina Silvennoinen

2013 Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008
by Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A.

2013 Liquidity Determinants of Moroccan Banking Industry
by FERROUHI, El Mehdi & LEHADIRI, Abderrassoul

2013 Essays on Expectations and the Econometrics of Asset Pricing
by Lof, Matthijs

2013 Force-majeure events and financial market’s behavior
by Plastun, Alex & Plastun, Vyacheslav

2013 The Overreaction Hypothesis: The Case of Ukrainian Stock Market
by Mynhardt, H. R. & Plastun, Alex

2013 Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?
by Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq

2013 Short and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): science, witchcraft, or practical tool for policy?
by Bos, Frits & Teulings, Coen

2013 Price Drivers and Investment Strategies of Gold
by Arayssi, Mahmoud

2013 Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
by Liu, Xiaochun

2013 Forecasting Bankruptcy with Incomplete Information
by Xu, Xin

2013 Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence
by Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan

2013 Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
by Jarraya, Bilel

2013 Multiobjective optimization for the asset allocation of European nonlife insurance companies
by Jarraya, Bilel & Bouri, Abdelfettah

2013 Analysing social attributes of loan default among small Indian Dairy farms: A discriminating approach
by Sinha, Mukesh Kumar & Dhaka, J. P. & Mondal, B.

2013 Финансовая Инновация - Миф Или Реальность?
by Kogan, Anton

2013 Forecasting with Factor Models: A Bayesian Model Averaging Perspective
by Dimitris, Korobilis

2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
by Schröder, Anna Louise & Fryzlewicz, Piotr

2013 Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
by Nath, Golaka

2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
by Ezzat, Hassan

2013 Green finance is essential for economic development and sustainability
by Chowdhury, Tasnim & Datta, Rajib & Mohajan, Haradhan

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
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 Jump Processes in Exchange Rates Modeling
by Bunčák, Tomáš

2013 Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks
by Chen, Shiu-Sheng

2013 To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey
by Matkovskyy, Roman

2013 Monitoring of Credit Risk through the Cycle: Risk Indicators
by Yashkir, Olga & Yashkir, Yuriy

2013 Loss Given Default Modelling: Comparative Analysis
by Yashkir, Olga & Yashkir, Yuriy

2013 Long Memory Analysis: An Empirical Investigation
by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan

2013 A New Index of Financial Conditions
by Koop, Gary & Korobilis, Dimitris

2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya

2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

2013 Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market
by Sumit Agarwal & Itzhak Ben-David & Vincent Yao

2013 Tail Risk and Asset Prices
by Bryan Kelly & Hao Jiang

2013 Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
by Joseph Gyourko & Joseph Tracy

2013 Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons
by Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH

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 forecasts issued by 4 648 analysts concerning 241 French firms (1997-2007), we regress the analysts' forecast accuracy on its unintentional determinants. We then decompose the fixed effect of the regression and we use the firm-analyst pair effect as a measure of the intensity of the firm-analyst relationship. We find that a low (high) firm-analyst pair effect is associated with a low (high) forecast error. This observation suggests that pessimism and optimism result from the analysts' concern for cultivating their relationship with the firm's management
by Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton

2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer

2013 An Analysis of CDS Market Liquidity by the Hawkes Process
by Masahiko Egami & Yasuyuki Kato & Tomochika Sawaki

2013 Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
by Banu Simmons-Süer

2013 Cascades in real interbank markets
by Fariba Karimi & Matthias Raddant

2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

2013 Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models
by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen

2013 The Economic Impact of Oil on Industry Portfolios
by Jaime Casassus & Freddy Higuera

2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
by Monica Giulietti & Luigi Grossi

2013 CDO Surfaces Dynamics
by Barbara Choroś-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin &

2013 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec &

2013 Improving prediction of stock market indices by analyzing the psychological states of twitter users
by Alexander Porshnev & Ilya Redkin & Alexey Shevchenko

2013 Day Trading Profitability across Volatility States
by Lundström, Christian

2013 Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach
by Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh

2013 Financial and economic downturns in OECD countries
by Haavio, Markus & Mendicino , Caterina & Punzi , Maria Teresa

2013 Equity Premia Predictability in the EuroZone
by Nuno Silva

2013 Monetary policy surprises, positions of traders, and changes in commodity futures prices
by Gospodinov, Nikolay & Jamali, Ibrahim

2013 A Fear Index to Predict Oil Futures Returns
by Julien Chevallier & Benoît Sévi

2013 Studying The Volatility Of The Romanian Investment Funds With The Arch And Garch Models Using The "R" Software
by Antoniade Ciprian ALEXANDRU

2013 How to Identify and Forecast Bull and Bear Markets?
by Kole, H.J.W.G. & van Dijk, D.J.C.

2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Caporin, M. & McAleer, M.J.

2013 Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan: A Variable Replacement Approach Application with Con-integration
by Mondher bellalah & SYED ALAMDAR ALI & Omar Masood

2013 Defying Gravity: Costly Signaling to Mislead or to Inform?
by Beneish, Messod Daniel & Capkun, Vedran & Fridson, Martin S.

2013 The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
by Busse, Marc & Dacorogna, Michel & Kratz, Marie

2013 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN

2013 A Fear Index to Predict Oil Futures Returns
by Sévi, Benoît & Chevallier, Julien

2013 The Limits of Granularity Adjustments
by Jean-David Fermanian

2013 Forecasting Latin-American yield curves: An artificial neural network approach
by Daniel Vela

2013 Ensemble predictions of recovery rates
by Joao A. Bastos

2013 Exchange rates and commodity prices: measuring causality at multiple horizons
by Hui Jun Zhang & Jean-Marie Dufour & John Galbraith

2013 IFRS Adoption in Canada: An Empirical Analysis of the Impact on Financial Statements
by Michel Blanchette & François-Éric Racicot & Komlan Sedzro

2013 Forecasting Exchange Rates: An Investor Perspective
by Michael Melvin & John Prins & Duncan Shand

2013 Financial Signaling and Earnings Forecasts
by Iuliia Brushko

2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer

2013 Has the Basel Accord Improved Risk Management During the Global Financial Crisis
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2013 Two EGARCH models and one fat tail
by M. Caivano & A. Harvey

2013 Time series models with an EGB2 conditional distribution
by M. Caivano & A. Harvey

2013 On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms
by Evangelos C. Charalambakis

2013 A Semiparametric Early Warning Model of Financial Stress Events
by Ian Christensen & Fuchun Li

2013 Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
by Jianjian Jin

2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
by Torben G. Andersen & Oleg Bondarenko

2013 Reflecting on the VPIN Dispute
by Torben G. Andersen & Oleg Bondarenko

2013 Does Realized Skewness Predict the Cross-Section of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez

2013 Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
by Niels S. Hansen & Asger Lunde

2013 Risk-Return Trade-Off for European Stock Markets
by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva

2013 Forecasting US Recessions: The Role of Sentiments
by Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller

2013 What Drives Stock Exchange Integration?
by Ekaterina Dorodnykh

2013 Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study
by Luca GRILLI & Angelo SFRECOLA

2013 The Impact Of Investor Psychology On Stock Markets: Evidence From France
by ABDERRAZAK DHAOUI & SAAD BOUROUIS & MELEK ACAR BOYACIOGLU

2013 Fractal Analysis of the Gold Market in China
by Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI

2013 Forecasting Croatian Stock Market Index: Crobex
by Ivanovic, Zoran & Bogdan, Sinisa & Baresa, Suzana

2013 A copula-based approach to portfolio credit risk modeling
by Bologov , Yaroslav

2013 Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology
by Ewa Ratuszny

2013 Strategy and Portfolio Management Aspects of Integrated Business Planning
by Peter Jurečka

2013 Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
by Jozef Barunik

2013 A Robust Valuation Model for Entrepreneurial Ventures
by Haim Kedar-Levy

2013 Proposal Of A Common Scoring System For Selection Of Eu Funded Projects Developed By Romanian Companies
by Droj Laurentiu

2013 Sensitivity Assessment Modelling In European Funded Projects Proposed By Romanian Companies
by Droj Laurentiu & Droj Gabriela

2013 Short- and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): Science, witchcraft, or practical tool for policy?
by Frits Bos & Coen Teulings

2013 A válság mint negatív információ és bizonytalansági tényező. A válság hatása az egy részvényre jutó nyereség-előrejelzésekre
by Jáki, Erika

2013 The Statutory Audit and the Economic Governance Within the European Union
by Eugen Nicolaescu

2013 Granularity Adjustment for Regulatory Capital Assessment
by M. B. Gordy & E. Lutkebohmert

2013 Estimation And Inference In Predictive Regressions
by KUROZUMI, EIJI & AONO, KOHEI

2013 Orthogonal garch matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán
by Oscar De la Torre Torres.

2013 GFC-robust risk management strategies under the Basel Accord
by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio

2013 The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market
by Chen, Chun-nan

2013 The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?
by Bartholdy, Jan & Feng, Tiyi

2013 The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
by Liao, Yin

2013 Can US economic variables predict the Chinese stock market?
by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen

2013 Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
by Docherty, Paul & Chan, Howard & Easton, Steve

2013 GFC-robust risk management under the Basel Accord using extreme value methodologies
by Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo

2013 Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
by Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio

2013 Currency hedging strategies using dynamic multivariate GARCH
by Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel

2013 Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
by Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong

2013 A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?
by So, Eric C.

2013 Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency
by Shynkevich, Andrei

2013 A network model of financial system resilience
by Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew

2013 Corporate social responsibility and earnings forecasting unbiasedness
by Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro

2013 Are extreme returns priced in the stock market? European evidence
by Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt

2013 Predicting bear and bull stock markets with dynamic binary time series models
by Nyberg, Henri

2013 Testing the expectations hypothesis of the term structure with permanent-transitory component models
by Casalin, Fabrizio

2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
by Chevapatrakul, Thanaset

2013 CVaR sensitivity with respect to tail thickness
by Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J.

2013 Forecasting the size premium over different time horizons
by Zakamulin, Valeriy

2013 Do star analysts know more firm-specific information? Evidence from China
by Xu, Nianhang & Chan, Kam C. & Jiang, Xuanyu & Yi, Zhihong

2013 Forecasting metal prices: Do forecasters herd?
by Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg

2013 The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies
by Marquez, Jaime & Morse, Ari & Schlusche, Bernd

2013 Market capitalization and Value-at-Risk
by Dias, Alexandra

2013 On the predictability of stock prices: A case for high and low prices
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo

2013 Economic valuation of liquidity timing
by Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel

2013 Forecasting EUR–USD implied volatility: The case of intraday data
by Dunis, Christian & Kellard, Neil M. & Snaith, Stuart

2013 Front-running of mutual fund fire-sales
by Dyakov, Teodor & Verbeek, Marno

2013 Predicting forecast errors through joint observation of earnings and revenue forecasts
by Henderson, Brian J. & Marks, Joseph M.

2013 An analysis of commodity markets: What gain for investors?
by Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila

2013 Best portfolio insurance for long-term investment strategies in realistic conditions
by Pézier, Jacques & Scheller, Johanna

2013 Cyclical default and recovery in stress testing loan losses
by Jokivuolle, Esa & Virén, Matti

2013 Insured uncovered interest parity
by Tse, Yiuman & Wald, John K.

2013 Histogram-based prediction of directional price relatives
by Roch, Oriol

2013 The over-optimism of financial analysts and the long-run performance of firms following private placements of equity
by Lin, Wen-Chun & Chang, Shao-Chi & Chen, Sheng-Syan & Liao, Tsai-Ling

2013 Assessing the profitability of intraday opening range breakout strategies
by Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian

2013 Forecasting VaR using analytic higher moments for GARCH processes
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia

2013 Testing for financial crashes using the Log Periodic Power Law model
by Brée, David S. & Joseph, Nathan Lael

2013 Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
by Degiannakis, Stavros & Floros, Christos & Dent, Pamela

2013 Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards
by Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang

2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
by Vivian, Andrew & Wohar, Mark E.

2013 Forecasting carbon futures volatility using GARCH models with energy volatilities
by Byun, Suk Joon & Cho, Hangjun

2013 Filtering and forecasting commodity futures prices under an HMM framework
by Date, Paresh & Mamon, Rogemar & Tenyakov, Anton

2013 Modeling and forecasting the volatility of petroleum futures prices
by Kang, Sang Hoon & Yoon, Seong-Min

2013 Modeling the relationship between European carbon permits and certified emission reductions
by Koop, Gary & Tole, Lise

2013 Risk spillovers in international equity portfolios
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo

2013 Volatility timing: How best to forecast portfolio exposures
by Clements, A. & Silvennoinen, A.

2013 An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC
by Miller, Thomas W. & Rapach, David E.

2013 Multi-period credit default prediction with time-varying covariates
by Orth, Walter

2013 Monetary policy regimes and the term structure of interest rates
by Bikbov, Ruslan & Chernov, Mikhail

2013 Stable mixture GARCH models
by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.

2013 Linear and nonlinear regression with stable errors
by Nolan, John P. & Ojeda-Revah, Diana

2013 Perpetual learning and stock return predictability
by Zhu, Xiaoneng

2013 Financial markets forecasts revisited: Are they rational, stubborn or jumpy?
by Fujiwara, Ippei & Ichiue, Hibiki & Nakazono, Yoshiyuki & Shigemi, Yosuke

2013 Forecasting volatility with the realized range in the presence of noise and non-trading
by Bannouh, Karim & Martens, Martin & van Dijk, Dick

2013 Arbitrage-free implied volatility surfaces for options on single stock futures
by Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine

2013 Has the Basel Accord improved risk management during the global financial crisis?
by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio

2013 Conditional correlations and volatility spillovers between crude oil and stock index returns
by Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai

2013 Detecting sudden changes in volatility estimated from high, low and closing prices
by Kumar, Dilip & Maheswaran, S.

2013 Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process
by Degiannakis, Stavros & Livada, Alexandra

2013 Strategy switching in the Japanese stock market
by Yamamoto, Ryuichi & Hirata, Hideaki

2013 Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India
by Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj

2013 The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
by Esref Savas BASCI & Süleyman Serdar KARACA

2013 Financial Analysis, Budgeting, Decision and Control
by Mariana Rodica TIRLEA

2013 Non Linear Analysis of S&P Index
by Michael Hanias, Lykourgos Magafas, P. Konstantaki

2013 Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
by Agnieszka Kapecka

2013 Diseño metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios: caso de cogeneración de energía en una empresa en Cali
by Carlos Andrés Núñez Viveros & Gabriel José Gallego Hidalgo & Guillermo Buenaventura Vera

2013 Estimación de la utilidad en riesgo de una empresa de transmisión de energía eléctrica considerando variables económicas
by Santiago Medina Hurtado & Jorge Aníbal Restrepo Morales

2013 Increasing Compliance Through Efficient Public Campaigns
by Ilie BANU & Sorin TERCHILĂ & Ioana-Mădălina BANU (BUTIUC)

2013 Modelo de negocios de las Pyme: Un análisis de sus manejos financieros
by Víctor Manuel Molina Morejón & Lourdes J. García Hernández & Valeria Viridiana Salas Jaramillo

2013 Market microstructure design and flash crashes: A simulation approach
by Paul Brewer & Jaksa Cvitanic & Charles R. Plott

2013 Long-Term Returns: a Reality Check for Pension Funds and Retirement Savers
by Richard Guay & Laurence Allaire

2013 Alternative Models Of Financing Regional Development
by Cristina, GRADEA

2013 The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex
by Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK

2013 Problems and perspectives of fiscal sector in Bulgaria (English)
by Emil Kalchev

2013 Problems and perspectives of fiscal sector in Bulgaria (Bulgarian)
by Emil Kalchev

2013 Combining term structure of interest rate forecasts: The Brazilian case
by Rafael Cavalcanti de Araújo & Daniel Oliveira Cajueiro

2013 Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro
by João F. Caldeira

2013 Examination of Relationship Between Stock Returns and Factors Affecting Capital Structure and Financial Ratios with ANFIS Method: An Application on ISE 100 Index
by Nevin Yoruk & S. Serdar Karaca & Mahmut Hekim & İsmail Tuna

2013 Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio
by Madalina - Gabriela Anghel & Liliana (Dinca) Paschia

2013 Financial liquidity analysis of CSR based Capital Group Zywiec SA
by Aleksandra Gasior

2012 A risk-based risk finance paradigm
by Gao, Siwei & Powers, Michael R. & Chapman, Zaneta A.

2012 How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk
by Ciciretti, Rocco & Corvino, Raffaele

2012 Sum of Perpetuities Method for Valuing Stock Prices
by Christian Brown & Fred Abraham

2012 Prognosen von Metallpreisen: Asymmetrische Verlustfunktionen und Rationalität
by Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann

2012 Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen
by Marcus Wolter & Daniel Rösch

2012 En busca de un buen marco de referencia predictivo para la inflación en Chile
by Pincheira, Pablo & García, Álvaro

2012 Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
by Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko

2012 Published stock recommendations as institutional investor sentiment in the near-term stock market
by Singer, Nico & Dreher, Frank & Laser, Saskia

2012 Forecasting metal prices: Do forecasters herd?
by Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg

2012 On the dark side of the market: Identifying and analyzing hidden order placements
by Hautsch, Nikolaus & Huang, Ruihong

2012 Multivariate wishart stochastic volatility and changes in regime
by Gribisch, Bastian

2012 Intra-daily volatility spillovers between the US and German stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2012 GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
by Pierre Chausse & Dinghai Xu

2012 Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
by Piotr Arendarski

2012 Estimating the Final Size of an Online User Base
by Steven Lim

2012 Backward/forward optimal combination of performance measures for equity screening
by Monica Billio & Massimiliano Caporin & Michele Costola

2012 Efficient Gibbs Sampling for Markov Switching GARCH Models
by Monica Billio & Roberto Casarin & Anthony Osuntuyi

2012 Risk Spillovers in International Equity Portfolios
by Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo

2012 On the Predictability of Stock Prices: a Case for High and Low Prices
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo

2012 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
by Marcin Jaskowski & Michael McAleer

2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral

2012 Currency Hedging Strategies Using Dynamic Multivariate GARCH
by Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín

2012 After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?
by Malgorzata Sulimierska

2012 Risk spillovers in international equity portfolios
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo

2012 Corporate Social Responsibility and Earnings Forecasting Unbiasedness
by Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli

2012 Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate
by Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis

2012 Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional
by Gomes, Luís & Soares, Vasco

2012 Modelling Realized Covariances and Returns
by Xin Jin & John M. Maheu

2012 ROM Simulation: Applications to Stress Testing and VaR
by Carol Alexander & Daniel Ledermann

2012 Average Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller

2012 The Real Output Costs of Financial Crisis: A Loss Distribution Approach
by Kapp, Daniel & Vega, Marco

2012 Forecasting multivariate volatility in larger dimensions: some practical issues
by Adam E Clements & Ayesha Scott & Annastiina Silvennoinen

2012 Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
by Buła, Rafał

2012 Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali
by Buła, Rafał

2012 Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
by Huang, Huichou & MacDonald, Ronald & Zhao, Yang

2012 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
by Ezzat, Hassan

2012 High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination
by Bławat, Bogusław

2012 Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns
by Hiremath, Gourishankar S & Bandi, Kamaiah

2012 Evaluating A Business Intelligence Solution. Feasibility Analysis Based On Monte Carlo Method
by Muntean, Mihaela & Muntean, Cornelia

2012 Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
by Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando

2012 Comparative study of static and dynamic neural network models for nonlinear time series forecasting
by Abounoori, Abbas Ali & Mohammadali, Hanieh & Gandali Alikhani, Nadiya & Naderi, Esmaeil

2012 Incentive-Compatible Sukuk Musharakah for Private Sector Funding
by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene

2012 To what extent are financial crises comparable and thus predictable?
by Diamondopoulos, John

2012 Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
by Lúcio Godeiro, Lucas

2012 Real Output Costs of Financial Crises: a Loss Distribution Approach
by Daniel Kapp & Marco Vega

2012 Building Castles in the Air: Evidence from Industry IPO Waves
by Zhi Da & Ravi Jagannathan & Jianfeng Shen

2012 Factor Model Forecasts of Exchange Rates
by Charles Engel & Nelson C. Mark & Kenneth D. West

2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
by Kenneth D. West

2012 Continuous-Time Linear Models
by John H. Cochrane

2012 Can we beat the random walk in forecasting CEE exchange rates?
by Jakub Muck & Pawel Skrzypczynski

2012 Price-Volume Relations in Financial Market
by Weihong HUANG & Wanying Wang

2012 Alternative Modeling for Long Term Risk
by Dominique Guegan & Xin Zhao

2012 Prévoir sans persistance
by Christophe Boucher & Bertrand Maillet

2012 Estimating implied recovery rates from the term structure of CDS spreads
by Marcin Jaskowski & Michael McAleer

2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral

2012 Do changes in distance-to-default anticipate changes in the credit rating?
by Nidhi Aggarwal & Manish Singh & Susan Thomas

2012 Agent-based risk management - A regulatory approach to financial markets
by Thomas Theobald

2012 Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?
by Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi

2012 Some Comments on a Macro-Finance Model with Stochastic Volatility
by Márcio Laurini & João Frois Caldeira

2012 A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
by Márcio Laurini

2012 Can the market forecast the weather better than meteorologists?
by Matthias Ritter & & &

2012 Implied Basket Correlation Dynamics
by Wolfgang Karl Härdle & Elena Silyakova & &

2012 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci

2012 On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
by Nikolaus Hautsch & Ruihong Huang

2012 Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
by Ralf Sabiwalsky

2012 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

2012 Occurrence of long and short term asymmetry in stock market volatilities
by Lönnbark, Carl

2012 Assessing the profitability of intraday opening range breakout strategies
by Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian

2012 Modelling the impact of aggregate financial shocks external to the Chinese economy
by Qin, Duo & He, Xinhua

2012 Nonparametric prediction of stock returns with generated bond yields
by Michael Scholz & Stefan Sperlich & Jens Perch Nielsen

2012 Nonparametric prediction of stock returns guided by prior knowledge
by Michael Scholz & Jens Perch Nielsen & Stefan Sperlich

2012 Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

2012 Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
by Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C.

2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

2012 Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
by Yin Liao

2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
by Amlan Roy

2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
by Amlan Roy

2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
by Amlan Roy

2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
by Amlan Roy

2012 The optimal size of the European Stability Mechanism: A cost-benefit analysis
by Daniel Kapp

2012 Volatility Strategies for Global and Country Specific European Investors
by Signori, Ombretta & Malongo, Hassan & Fermanian, Jean-David & Brière, Marie

2012 Estimating fund manager fees using option pricing model
by Najar, Dorra

2012 Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman
by Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo

2012 Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach
by Carlos Léon

2012 Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
by Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska

2012 To buy or not to buy? The value of contradictory analyst signals
by Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne

2012 Risk Management and Financial Derivatives: An Overview
by Shawkat Hammoudeh & Michael McAleer

2012 Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)
by Allen, D. & Lizieri, C. & Satchell, S.

2012 EGARCH models with fat tails, skewness and leverage
by Harvey, A. & Sucarrat, G.

2012 A network model of financial system resilience
by Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew

2012 Oil price density forecasts: Exploring the linkages with stock markets
by Francesco Ravazzolo & Marco J. Lombardi

2012 Oil price density forecasts: exploring the linkages with stock markets
by Marco J. Lombardi & Francesco Ravazzolo

2012 Using Merton model: an empirical assessment of alternatives
by Zvika Afik & Ohad Arad & Koresh Galil

2012 Shock on Variable or Shock on Distribution with Application to Stress-Tests
by Dubecq, S. & Gourieroux, C.

2012 What role, if any, can market discipline play in supporting macroprudential policy?
by María J. Nieto

2012 Are extreme returns priced in the stock market? European evidence
by ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt

2012 SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
by Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza

2012 Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
by Peter Reinhard Hansen & Allan Timmermann

2012 Choice of Sample Split in Out-of-Sample Forecast Evaluation
by Peter Reinhard Hansen & Allan Timmermann

2012 Market Practice in Financial Modelling
by Chia Chiang Tan

2012 Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach
by Marianna BOTIKA

2012 A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm
by Diana DEZSI & Emil SCARLAT

2012 The Effect Of Accruals On Security Analysts’ Target Price Forecast Performance
by Cho JOONG-SEOK

2012 The Applicability Of Artificial Neural Network Method Upon Prediction Of Rate Of Stock Return: Example Of 2008 Financial Crisis
by Süleyman Serdar KARACA & Hatice Neriman BAŞDEMİR

2012 The Effect Of Financial Ratios On The Firm Value: Evidence From Turkey
by Süleyman Serdar KARACA & Arif SAVSAR

2012 On forecasting stock options volatility: evidence from London international financial futures and options exchange
by Mircea ASANDULUI

2012 Under-Reaction Of S&P 500 Implied Volatility To Relevant Information
by Andrey KUDRYAVTSEV

2012 Models for Evaluating the Company on FCFE and FCFF basis
by Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Gheorghe LEPADATU

2012 CAPM Evaluating Relation
by Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Georgeta BARDASU

2012 Forecasting the Bankruptcy Risk on the Example of Romanian Enterprises
by Georgeta VINTILA & Georgia Maria TOROAPA

2012 The new approaches in econometric research of financial markets. Distributed volatility
by V. I. Tinyakova

2012 Techniques and Simulation Models in Risk Management
by Mirela GHEORGHE

2012 Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data
by Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi

2012 Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan
by Matthew C. Chang & Jui-Cheng Hung

2012 Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa
by Cifter, Atilla

2012 Optimization of portfolio management based on vector autoregression models and multivariate volatility models
by Habrov, Vladimir

2012 Data frequency and mutual fund performance measures
by Semushin, Anton & Parshakov, Petr

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
by Frolova, Elvina & Fantazzini, Dean

2012 The business cycles and the influence of economic confidence indicators in the European region
by Alexandru Constantinescu

2012 Problems in business valuation –analysis of survey results
by Piotr Szymański

2012 Problems in business valuation –analysis of survey results
by Piotr Szymański

2012 Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
by Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek

2012 Financial Stress Indexes for the Czech Republic and Hungary
by Milan Šimáček

2012 Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model
by Petra Buzková & Petr Teplý

2012 Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan
by Syeda Rabab Mudakkar & Jamshed Y. Uppal

2012 The Horizon of Prediction for Exchange Rate Eur-Leu
by Dumitru Ciobanu

2012 Credit Market as a “Mirror” of the Economic System: A Disequilibrium Approach
by Dãnãnãu Cristian-Florin & Alexandru Ciprian-Antoniade

2012 Impact of Intelligent Modern Technologies in Business
by Adrian Lupaºc & Ioana Lupaºc & Cristina Gabriela Zamfir

2012 Opportunities for Using Alternative Energy Resources and Models for Estimating the Fair Value of a Green Energy System
by Din Alina-Valentina & Diaconu Mihaela

2012 The Role Of Value At Risk In The Management Of Asset And Liabilities
by Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae

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
by Droj Laurentiu & Droj Gabriela

2012 The Determinants of Household Debt Default
by Rodrigo Alfaro & Natalia Gallardo

2012 Diagnosing the Financial System: Financial Conditions and Financial Stress
by Scott Brave & R. Andrew Butters

2012 Intelligent Financial Forecasting, The key for a Successful Management
by Logica Banica & Daniela Pirvu & Alina Hagiu

2012 Independent Spike Models: Estimation and Validation
by Erik Lindström & Fredric Regland

2012 International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
by Ales Kresta & Tomas Tichy

2012 An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
by Alessandro Cardinali

2012 Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss
by Baghestani, Hamid & Khallaf, Ashraf

2012 U.S. industry-level returns and oil prices
by Fan, Qinbin & Jahan-Parvar, Mohammad R.

2012 The term structure of inflation expectations
by Chernov, Mikhail & Mueller, Philippe

2012 Global, local, and contagious investor sentiment
by Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu

2012 ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
by Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais

2012 Heterogeneous gain learning and the dynamics of asset prices
by LeBaron, Blake

2012 Are corporate bond market returns predictable?
by Hong, Yongmiao & Lin, Hai & Wu, Chunchi

2012 Granularity adjustment for mark-to-market credit risk models
by Gordy, Michael B. & Marrone, James

2012 Combining equilibrium, resampling, and analyst’s views in portfolio optimization
by Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto

2012 Pitfalls in VAR based return decompositions: A clarification
by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten

2012 Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis
by Rittler, Daniel

2012 Accruals quality and analyst coverage
by Lobo, Gerald J. & Song, Minsup & Stanford, Mary

2012 Performance of technical analysis in growth and small cap segments of the US equity market
by Shynkevich, Andrei

2012 Estimating the cost of capital with basis assets
by Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng

2012 Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
by Yamamoto, Ryuichi

2012 Do return prediction models add economic value?
by Cenesizoglu, Tolga & Timmermann, Allan

2012 14-Week quarters
by Johnston, Rick & Leone, Andrew J. & Ramnath, Sundaresh & Yang, Ya-wen

2012 An intertemporal capital asset pricing model with heterogeneous expectations
by Koutmos, Dimitrios

2012 The role of data limitations, seasonality and frequency in asset pricing models
by Murtazashvili, Irina & Vozlyublennaia, Nadia

2012 Gram–Charlier densities: Maximum likelihood versus the method of moments
by Del Brio, Esther B. & Perote, Javier

2012 The carry trade and fundamentals: Nothing to fear but FEER itself
by Jordà, Òscar & Taylor, Alan M.

2012 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
by Simonato, Jean-Guy

2012 Spatial modeling of stock market comovements
by Fernández-Avilés, Gema & Montero, Jose-María & Orlov, Alexei G.

2012 Measuring economic uncertainty and its impact on the stock market
by Dzielinski, Michal

2012 Google Internet search activity and volatility prediction in the market for foreign currency
by Smith, Geoffrey Peter

2012 Wealth dynamics and a bias toward momentum trading
by LeBaron, Blake

2012 Properties of range-based volatility estimators
by Molnár, Peter

2012 On the dependence structure of realized volatilities
by Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello

2012 Forecasting spot price volatility using the short-term forward curve
by Haugom, Erik & Ullrich, Carl J.

2012 Model based Monte Carlo pricing of energy and temperature Quanto options
by Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit

2012 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
by Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong

2012 Fractal market time
by McCulloch, James

2012 Short-term predictability of equity returns along two style dimensions
by Shynkevich, Andrei

2012 Smooth transition patterns in the realized stock–bond correlation
by Aslanidis, Nektarios & Christiansen, Charlotte

2012 Emerging market sovereign bond spreads: Estimation and back-testing
by Comelli, Fabio

2012 Econometric analysis of present value models when the discount factor is near one
by West, Kenneth D.

2012 The conditional autoregressive Wishart model for multivariate stock market volatility
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2012 Forecasting stock prices: Do forecasters herd?
by Pierdzioch, Christian & Rülke, Jan-Christoph

2012 Stock index return forecasting: The information of the constituents
by Cai, Charlie X. & Kyaw, Khine & Zhang, Qi

2012 Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model
by Liu, Hsiang-Hsi

2012 Estimation of an agent-based model of investor sentiment formation in financial markets
by Lux, Thomas

2012 Improving the value at risk forecasts: Theory and evidence from the financial crisis
by Halbleib, Roxana & Pohlmeier, Winfried

2012 The market impact of a limit order
by Hautsch, Nikolaus & Huang, Ruihong

2012 Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall
by Pierre Rostan & Alexandra Rostan

2012 The Extreme Value Theory and Copulas as a Tool to Measure Market Risk
by Krenar Avdulaj

2012 Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas
by Daiver Cardona Salgado

2012 Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial
by Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho

2012 Technical analysis of stock prices using Elliot wave theory and Fibonacci number
by Rattana Charussaengsuriya & Tawewan Tharnpipat

2012 Prévoir sans persistance
by Christophe Boucher & Bertrand Maillet

2012 The Analysis Of The Relation Between Investor Risk Appetite And Stock Market Crises In Istanbul Stock Exchange
by Erdinç ALTAY & Burcay YASAR AKCALI

2012 Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model
by Emrah Ismail ÇEVIK & Nuket Kirci ÇEVIK & Serhan GURKAN

2012 Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment
by Christian Pierdzioch

2012 Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks
by Veli Akel & Fikriye Karacameydan

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
by Gholamreza ZANDI & Alireza SHAHABI

2012 Fair Value Measurements and Earnings Forecasts Accuracy: Evidence for Romanian Listed Companies
by Mihaela IONASCU

2012 The Implications Of Liquidity Crises In The Context Of Emerging Capital Market
by Felicia Ramona Birău

2012 Predicting The Exchange Rate Eur-Leu With Svm
by Dumitru Ciobanu

2012 A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam
by Mircea ASANDULUI

2011 Portfolio optimization using forward-looking information
by Kempf, Alexander & Korn, Olaf & Saßning, Sven

2011 Estimation of the Cost of Equity by Considering the Interdependences between Capital Markets
by Maria PASCU-NEDELCU

2011 Asset Pricing Puzzle: The Long-Run Risks Model's Approach
by Francesca Brusa

2011 Liability Index Fund: The Liability Beta Portfolio
by Ryan, Ronald & Fabozzi , Frank

2011 Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
by Wamg, Jianxin

2011 Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen
by Cetin-Behzet Cengiz & Rüdiger von Nitzsch

2011 Pricing of temperature-based weather options for Turkey
by Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ

2011 Türkiye’de banka başarısızlıklarının tahmini üzerine bir uygulama
by Aykut EKİNCİ & Halil İbrahim ERDAL

2011 Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system
by Maciel, Leandro S.

2011 Fuzzy uncertainty in the heston stochastic volatility model
by Figà-Talamanca, G. & Guerra, M.L. & Stefanini, L.

2011 Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis
by Rebiasz, B.

2011 Multi-period credit default prediction with time-varying covariates
by Orth, Walter

2011 Can Internet search queries help to predict stock market volatility?
by Dimpfl, Thomas & Jank, Stephan

2011 The merit of high-frequency data in portfolio allocation
by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter

2011 Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey
by Entorf, Horst & Knoll, Christian & Sattarova, Liliya

2011 Can internet search queries help to predict stock market volatility?
by Dimpfl, Thomas & Jank, Stephan

2011 Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
by Hess, Dieter & Orbe, Sebastian

2011 Projected earnings accuracy and the profitability of stock recommendations
by Hess, Dieter & Kreutzmann, Daniel & Pucker, Oliver

2011 Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
by Mayer, Klaus & Schmid, Thomas & Weber, Florian

2011 Removing systematic patterns in returns in a financial market model by artificially intelligent traders
by Witte, Björn-Christopher

2011 Overconfident for real? Proper scoring for confidence intervals
by Michał Krawczyk

2011 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

2011 Currency Hedging Strategies Using Dynamic Multivariate GARCH
by Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín

2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral

2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
by Isao Ishida & Michael McAleer & Kosuke Oya

2011 Modelling and Forecasting Noisy Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

2011 Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2011 Legal protection of investors, corporate governance, and investable premia in emerging markets
by Stephen Kinsella & Thomas O'Connor & Vincent O'Sullivan

2011 Forecasting the European Carbon Market
by Gary Koop & Lise Tole

2011 On the Predictability of Stock Prices: a Case for High and Low Prices
by Massimiliano Caporin & Angelo Ranaldo

2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou

2011 How homogeneous diversification in balanced investment funds affects portfolio and systemic risk
by Rocco Ciciretti & Raffaele Corvino

2011 Does Stock Return Predictability Affect ESO Fair Value?
by CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

2011 Modelling Realized Covariances and Returns
by Xin Jin & John M. Maheu

2011 A Comprehensive Evaluation of Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller

2011 Does Information Content of Option Prices Add Value for Asset Allocation?
by Vladimir Zdorovenin & Jacques Pézier

2011 Volatility timing and portfolio selection: How best to forecast volatility
by Adam E Clements & Annastiina Silvennoinen

2011 Forecasting Equicorrelation
by Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith

2011 Assessing bank's default probability using the ASRF model
by Radkov, Petar & Minkova, Leda

2011 Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
by Konchitchki, Yaniv

2011 Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
by Hiremath, Gourishankar S & Bandi, Kamaiah

2011 Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask
by Fantazzini, Dean & Geraskin, Petr

2011 Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis
by Francois-Éric Racicot

2011 Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
by Benjamin Kauper & Karl-Kuno Kunze

2011 On the Predictability of Stock Prices: A Case for High and Low Prices
by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris

2011 Predicting Failure in the Commercial Banking Industry
by John A. Tatom & Reza Houston

2011 CoVaR
by Tobias Adrian & Markus K. Brunnermeier

2011 Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
by Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng

2011 What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio
by Jessica A. Wachter & Missaka Warusawitharana

2011 The Recovery Theorem
by Stephen A. Ross

2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

2011 Performance Evaluation of Zero Net-Investment Strategies
by Òscar Jordà & Alan M. Taylor

2011 Shocks and Crashes
by Martin Lettau & Sydney C. Ludvigson

2011 Forecasting the Polish zloty with non-linear models
by Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch

2011 Une analyse temps-fréquences des cycles financiers
by Christophe Boucher & Bertrand Maillet

2011 Assessing the information content of option-based volatility forecasts using fuzzy regression methods
by Silvia Muzzioli & Bernard De Baets

2011 Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
by Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral

2011 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2011 Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
by Isao Ishida & Michael McAleer & Kosuke Oya

2011 Modelling and Forecasting Noisy Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2011 Reuters Sentiment and Stock Returns
by Matthias Uhl

2011 Stock Return Predictability and Oil Prices
by Jaime Casassus & Freddy Higuera

2011 Liquidity considerations in estimating implied volatility
by Rohini Grover & Susan Thomas

2011 Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
by Márcio Laurini & Luiz Koodi Hotta

2011 Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?
by Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias

2011 The Merit of High-Frequency Data in Portfolio Allocation
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec

2011 Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
by Nikolaus Hautsch & Ruihong Huang

2011 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
by Ray-Bing Chen & Ying Chen & Wolfgang Härdle

2011 A Network Model of Financial System Resilience
by Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison

2011 Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
by Masato Ubukata & Toshiaki Watanabe

2011 Quantile Forecasts of Financial Returns Using Realized GARCH Models
by Toshiaki Watanabe

2011 Estimation and Inference in Predictive Regressions
by Eiji Kurozumi & Kohei Aono

2011 Quantifying survey expectations: What's wrong with the probability approach?
by Breitung, Jörg & Schmeling, Maik

2011 Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
by Isakov, Dusan & Marti, Didier

2011 The Extreme Value Theory as a Tool to Measure Market Risk
by Krenar Avdulaj

2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Santos, P.A. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T.

2011 Do Mean Reverting based trading strategies outperform Buy and Hold?
by Dooruj Rambaccussing

2011 Media Sentiment and UK Stock Returns
by Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip

2011 Free lunch in the oil market: a note on Long Memory
by Sylvain Prado

2011 In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence
by Helmut Herwartz & Konstantin A. Kholodilin

2011 The 1980s Price Bubble on (Post) Impressionism
by Fabian Bocart & Ken Bastiaensen & Peter Cauwels

2011 Risk premium, variance premium and the maturity structure of uncertainty
by Bruno Feunou & Jean-Sébastien & Abderrahim Taamouti & Roméo Tédongap

2011 Montecarlo simulation of long-term dependent processes: a primer
by Carlos León Rincón & Alejandro Reveiz

2011 Valuing high technology growth firms
by Soenke Sievers & Jan Klobucnik

2011 Diversification in Firm Valuation: A Multivariate Copula Approach
by Stefan Erdorf & Thomas Hartmann-Wendels & Nicolas Heinrichs

2011 The Identification of Price Jumps
by Jan Hanousek & Evzen Kocenda & Jan Novotny

2011 Multiplicative models of financial returns an what we fail to get when they are disregarded
by Rodolfo Apreda

2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Paulo Araújo Santos & 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
by Roberto Casarin & 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
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
by Isao Ishida & Michael McAleer & Kosuke Oya

2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2011 The Canadian Debt-Strategy Model: An Overview of the Principal Elements
by David Jamieson Bolder & Simon Deeley

2011 A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
by Luca RICCETTI

2011 VPIN and the Flash Crash
by Torben G. Andersen & Oleg Bondarenko

2011 Forecasting with Option Implied Information
by Peter Christoffersen & Kris Jacobs & Bo Young Chang

2011 Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez

2011 Return Predictability, Model Uncertainty, and Robust Investment
by Manuel Lukas

2011 Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
by Christian Bach & Bent Jesper Christensen

2011 Operationalization Of The Composite Model Of The Financial Network Of The Economy. Cefimo 2010 Experiment
by Manolescu, Gheorghe

2011 Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market
by Tripathy NALINIPRAVA

2011 An Approach Of Combining Empirical Mode Decomposition And Neural Network Learning For Currency Crisis Forecasting
by Mustapha DJENNAS & Mohamed BENBOUZIANE & Meriem DJENNAS

2011 Security Margin And Leveraging In The Financial And Banking Management Decision
by DRAGOS ILIE

2011 An Evaluation of Effectiveness of Fuzzy Logic Model in Predicting the Business Bankruptcy
by Korol, Tomasz & Korodi, Adrian

2011 Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information
by Beum-Jo Park

2011 Modeling the Financial Behavior of Population (I) – Conceptual Assignations
by Dinga, Emil & Pop, Napoleon & Dimitriu, Mihail & Milea, Camelia

2011 Measuring risk of crude oil at extreme quantiles
by Sasa Zikovic

2011 Información y entropía en economía
by Álvaro Montenegro

2011 Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria
by Armas, Adrián & Vallejos , Lucy & Vega, Marco

2011 Forecasting Yield Curves in an Adaptive Framework
by Ying Chen & Bo Li

2011 Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm
by Josef Taušer & Petr Buryan

2011 Yield Curve Dynamics - Regional Common Factor Model
by Boril Šopov & Jakub Seidler

2011 The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?
by David Havlíček

2011 Actual Application of the Intelligent Systems and their Implications in Financial-Accounting Field
by Lupaºc Adrian & Lupaºc Ioana & Zamfir Cristina Gabriela

2011 Investment Decisions in the Romanian Pension Funds
by Ciobotea Adina & Oaca Sorina Cristina

2011 Building a Scoring Model for Bankruptcy Risk Prediction on Multiple Discriminant Analysis
by Vintila Georgeta & Toroapa Maria Georgia

2011 The Impact of Inflation Rate Upon Interest Rate in Romania
by Mihut Ioana Sorina

2011 Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange
by Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet

2011 Exchange-Rates Forecasting: Exponential Smoothing Techniques And Arima Models
by Fat Codruta Maria & Dezsi Eva

2011 Troubleshooting Basel Ii: The Issue Of Procyclicality
by Benyovszki Annamaria & Bordas Eszter & Kurti Laszlo - Adam & Szodorai Melinda

2011 Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?
by Mishari M. Alfaraih & Faisal S. Alanezi

2011 An Award for Calling the Crash
by Mason Gaffney

2011 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
by Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai

2011 Stock price fragility
by Greenwood, Robin & Thesmar, David

2011 Term structure modelling with observable state variables
by Huse, Cristian

2011 Consistency in meeting or beating earnings expectations and management earnings forecasts
by Kross, William J. & Ro, Byung T. & Suk, Inho

2011 Accounting for regime and parameter uncertainty in regime-switching models
by Hartman, Brian M. & Heaton, Matthew J.

2011 Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data
by Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand

2011 Functional data analysis for volatility
by Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich

2011 Comparing Neural Networks and ARMA Models in Artificial Stock Market
by Jiri Krtek & Miloslav Vošvrda

2011 Identificación de episodios de dependencia no lineal en el peso mexicano
by Semei Coronado Ramírez & Leonardo Gatica Arreola

2011 Une analyse temps-fréquences des cycles financiers
by Christophe Boucher & Bertrand Maillet

2011 The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries
by Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic

2011 A Hybrid Device of Self Organizing Maps (SOM) and Multivariate Adaptive Regression Splines (MARS) for the Forecasting of Firms’ Bankruptcy
by Javier DE ANDRES & Fernando SÁNCHEZ-LASHERAS & Pedro LORCA & Francisco Javier DE COS JUEZ

2011 Properties of Analysts’ Forecasts for Romanian Listed Companies: How Much Do Firm-Specific Factors Matter?
by Mihaela IONASCU

2011 Evaluation Of Management Performance By Means Of Income Statements And Cash Flow
by Florentina Simona Fãurescu & Oana Adriana Du?ã

2011 An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange
by Felicia Ramona Birau

2011 Romanian Companies Increasing Performance Under The Influence Of Theier Capitalization Stock
by Assoc. Prof. Dalia Simion Ph. D, Assoc. Prof. Elena Tob Ph. D, Asist. Sabin Armelu Ph. D Student

2011 Developing A And Monitoring Of The Risk Response Strategies In Project Finance
by Prof. univ. Constantinescu Dumitru Ph. D & George Dorin Petcu Ph. D Student

2011 Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach
by John Mwamba

2010 Projected earnings accuracy and the profitability of stock recommendations
by Hess, Dieter E. & Kreutzmann, Daniel & Pucker, Oliver

2010 The future of financial risk management
by Tapiero, Charles

2010 Forecasting international stock market correlations: does anything beat a CCC?
by Manner, Hans & Reznikova, Olga

2010 The predictive accuracy of credit ratings: measurement and statistical inference
by Orth, Walter

2010 Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
by Ehlers, Stefan & Gürtler, Marc & Olboeter, Sven

2010 Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im Vergleich
by Klein, Martin

2010 Monte-Carlo Simulation und Due Diligence: Ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen
by Klein, Martin

2010 Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
by Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik

2010 Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
by Silvia Centanni & Marco Minozzo

2010 GFC-Robust Risk Management Strategies under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2010 Modelling Realized Covariances and Returns
by Xin Jin & John M Maheu

2010 Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
by Chun Liu & John M Maheu

2010 Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining
by Lang, Joachim & Madlener, Reinhard

2010 Responding to the Global Financial and Economic Crisis: Meeting the Challenges in Asia
by Arner, Douglas & Schou-Zibell, Lotte

2010 How Risky Is the Value at Risk?
by Roxana Chiriac & Winfried Pohlmeier

2010 Endogenizing Model Risk to Quantile Estimates
by Carol Alexander & Jose Maria Sarabia

2010 Portfolio allocation: Getting the most out of realised volatility
by Adam Clements & Annastiina Silvennoinen

2010 The Mean Reversion Stochastic Processes Applications in Risk Management
by Radkov, Petar

2010 Long Memory in Stock Market Volatility:Evidence from India
by Hiremath, Gourishankar S & Bandi, Kamaiah

2010 Some Further Evidence on the Behaviour of Stock Returns in India
by Hiremath, Gourishankar S & Bandi, Kamaiah

2010 Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
by Massimiliano Caporin & Juliusz Pres' & Hipolit Torro

2010 Modelling and forecasting wind speed intensity for weather risk management
by Massimiliano Caporin & Juliusz Pres

2010 Modelling and Forecasting UK Mortgage Arrears and Possessions
by Janine Aron & John Muellbauer

2010 Financial Linkages and Business Cycles of Japan: An Analysis Using Financial Conditions Index
by Jun-ichi Shinkai & Akira Kohsaka

2010 Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory
by Kitty Moloney & Srinivas Raghavendra

2010 An International Perspective on Safe Withdrawal Rates from Retirement Savings: The Demise of the 4 Percent Rule?
by Wade D. Pfau

2010 Predictability of Returns and Cash Flows
by Ralph S.J. Koijen & Stijn Van Nieuwerburgh

2010 Currency Carry Trades
by Travis J. Berge & Òscar Jordà & Alan M. Taylor

2010 Predictive Regressions: A Present-value Approach
by Jules H. van Binsbergen & Ralph S.J. Koijen

2010 Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps
by Yin Liao & Heather M. Anderson & Farshid Vahid

2010 Auswirkungen des Wechsels auf IFRS und US-GAAP auf die Gewinnprognosen von Analysten
by Paarz, Roland

2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
by Massimiliano Caporin & Michael McAleer

2010 GFC-Robust Risk Management Strategies under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat

2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

2010 Meteorological forecasts and the pricing of weather derivatives
by Matthias Ritter & Oliver Mußhoff & Martin Odening

2010 Monetary Policy in the Crisis Period
by Pavel Trunin

2010 Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries
by Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík

2010 Yield Curve Dynamics: Regional Common Factor Model
by Boril Šopov & Jakub Seidler

2010 GFC-Robust Risk Management Strategies under the Basel Accord
by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
by Chang, C. & McAleer, M.J. & Tansuchat, R.

2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Tansuchat, R. & Chang, C-L. & McAleer, M.J.

2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Tansuchat, R. & Chang, C-L. & McAleer, M.J.

2010 Credit risk model for the Estonian banking sector
by Rasmus Kattai

2010 Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure
by Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc

2010 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
by Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc

2010 Exponential conditional volatility models
by Andrew Harvey

2010 Modelling structural changes in the volatility process
by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels

2010 Modelling and Forecasting UK Mortgage Arrears and Possessions
by Aron, Janine & Muellbauer, John

2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory

2010 Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
by Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G

2010 Análisis de la exposición al riesgo del Efectivo Generado por la Operación (EGO) bajo incertidumbre macroeconómica y de mercado
by Hernán Herrera Echeverry

2010 Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic
by Tomas Havranek & Roman Horvath & Jakub Mateju

2010 Predicting bank loan recovery rates with neural networks
by Joao A. Bastos

2010 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
by Jeffrey SATINOVER & Didier SORNETTE

2010 Modelling and Forecasting UK Mortgage Arrears and Possessions
by Janine Aron & John Muellbauer

2010 GFC-Robust Risk Management Strategies under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat

2010 Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat

2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
by Massimiliano Caporin & Michael McAleer

2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer

2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer

2010 Exponential Conditional Volatility Models
by Harvey, A.

2010 On the Difficulty of Measuring Forecasting Skill in Financial Markets
by Satchell, S. & Williams, O.J.

2010 Social Welfare Issues of Financial Literacy
by Satchell, S. & Williams, O.J.

2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
by Luca RICCETTI

2010 Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
by Yin Liao & Heather Anderson & Farshid Vahid

2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter R. Hansen & Asger Lunde & Valeri Voev

2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
by Bent Jesper Christensen & Paolo Santucci de Magistris

2010 A Comprehensive Look at Financial Volatility Prediction by Economic Variables
by Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf

2010 Predictable return distributions
by Thomas Q. Pedersen

2010 Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
by Leonidas Tsiaras

2010 Smooth Transition Patterns in the Realized Stock Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen

2010 Pitfalls in VAR based return decompositions: A clarification
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard

2010 The Problem Of Money Illusion In Economics
by Georg ERBER

2010 Bubbles And Crashes In Finance: A Phase Transition From Random To Deterministic Behaviour In Prices
by John FRY

2010 Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models
by Francesco GUIDI

2010 Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model
by Albulescu, Claudiu Tiberiu

2010 Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
by Jacek Osiewalski & Anna Pajor

2010 Forecasting the Polish Zloty with Non-Linear Models
by Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch

2010 State-Run Investment Funds: Major Institutional Investors on Global Financial Markets
by Petr Sedláček

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
by Ghita-Mitrescu Silvia & Duhnea Cristina & Vancea Diane Paula Corina

2010 Evolution and Perspectives of the Romanian Economy Related to the Economic and Financial Crisis
by Epure Danut Tiberius & Cusu Dorinela & Nancu Dumitru

2010 Banking Problems In A.D. Xenopol'S Work
by Stefanescu Florica

2010 Financial Problems In A.D. Xenopol’S Work
by STEFANESCU FLORICA

2010 Chaos Or Turbulence On The Volatility Of Public Revenues
by Bolos Marcel & Mosteanu Tatiana & Popovici Ioana

2010 Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?
by Jesús Crespo Cuaresma & Tomáš Slacík

2010 The Influence of the Monetary Policy on the Investment Polilcy of the Firm
by Iuliana Predescu & Mihai Aristotel Ungureanu & Stela Aurelia Toader & Antoniu Predescu

2010 Would You Follow MM or a Profitable Trading Strategy?
by Brian Baturevich, Gulnur Muradoglu

2010 Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi
by Turhan KORKMAZ & Ümit BASARAN & Emrah Ismail CEVIK

2010 Finansal Kararlarin Verilmesinde Promethee Siralama Yöntemi
by Göktug Cenk AKKAYA & Erhan DEMIRELI

2010 The Need to Adapt to New Financial Accounting Technologies Information in the Context of Global Economic Crisis
by Enrique BONSON-PONTE & Ioan ANDONE & Adrian LUPASC & Ioana LUPASC

2010 Como Entender Los Estandares Internacionales De Informaciòn Financiera
by Helio Fabio Ramirez Echeverry & Luis eduardo Suarez Balaguera

2010 Las microfinanzas; ¿soluciòn para la financiaciòn de las mipymes y de las empresas de base universitaria?
by Mario Ceballos

2010 Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV
by Jaime Enrique Arrieta Bechara & Juan Camilo Torres Cruz & Hermilson Velásquez Ceballos

2010 Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey
by Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso

2010 Preventive Detection of Economic Problems by means of Neuron Networks
by Stanimir Kabaivanov

2010 Possibilities to Study the Market Trend Fluctuations by Means of Indicators for Technical Analysis
by Marin Marinov

2010 Forecast of the Economic- Financial Performance Based on Diagnostic Analysis
by Daniela Cristina Solomon & Simona Elena Dragomirescu

2010 The Discriminant Analysis: an Exploratory Study Concerning the Degree of Financial Autonomy of Companies in the Context of the Romanian Business Environment
by Marilena Mironiuc & Mihaela-Alina Robu & Ioan-Bogdan Robu

2010 Efficient Yield Curve Estimation and Forecasting in Brazil
by Ricardo Azevedo Araujo & Guilherme V. Moura & Marcelo S. Portugal

2010 Linking Money Supply With The Gross Domestic Product In Romania
by Daniela Zapodeanu & Mihail Ioan Cociuba

2010 Accounting Knowledge: Decision Support In Forestry
by Ph.D Student Postolache (Males) Daniela

2010 Commercial Negotiations Optimization Under Competitiveness Increasing Within The Knowledge Based Economy
by Ph.D. candidate Iamandi Gheorghe Bucur

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
by Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO

2009 Forecasting Yield Curves Using Analyst's Views
by Leonardo Nogueira

2009 What Ties Return Volatilities to Price Valuations and Fundamentals?
by Alexander David & Pietro Veronesi

2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel

2009 Higher-order beliefs among professional stock market forecasters: some first empirical tests
by Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas

2009 Fiscal stimulus and the promise of future spending cuts: A comment
by Wieland, Volker

2009 The market impact of a limit order
by Hautsch, Nikolaus & Huang, Ruihong

2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral

2009 A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 Modelling Realized Covariances
by Xin Jin & John M Maheu

2009 Coexistence and Dynamics of Overconfidence and Strategic Incentives
by Bosquet, K. & de Goeij, P. C. & Smedts, K.

2009 Hedge funds strategies -are they consistent?
by Ribeiro, Mafalda & Santos, C. Machado

2009 Testing for periodically collapsing rational speculative bubbles in US REITs
by Keith Anderson & Chris Brooks & Sotiris Tsolacos

2009 On the economic benefit of utility based estimation of a volatility model
by Adam Clements & Annastiina Silvennoinen

2009 Economic crisis, its prospects and challenges for economic theory
by Slavica Manic

2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
by Òscar Jordà & Alan M. Taylor

2009 The stock market and aggregate employment
by Long Chen & Lu Zhang

2009 Inflation and the Stock Market:Understanding the "Fed Model"
by Geert Bekaert & Eric Engstrom

2009 The Superiority of Time-Varying Hedge Ratios in Turkish Futures
by Onur Olgun & Ý. Hakan Yetkiner

2009 Forecasting Romanian Financial System Stability using a Stochastic Simulation Model
by Claudiu Tiberiu Albulescu

2009 Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter

2009 On economic evaluation of directional forecasts
by Oliver Blaskowitz & Helmut Herwartz

2009 The Market Impact of a Limit Order
by Nikolaus Hautsch & Ruihong Huang

2009 Combination of multivariate volatility forecasts
by Alessandra Amendola & Giuseppe Storti

2009 Localized Realized Volatility Modelling
by Ying Chen & Wolfgang Härdle & Uta Pigorsch

2009 Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes
by Lillie Lam & Laurence Fung & Ip-wing Yu

2009 On risk prediction
by Lönnbark, Carl

2009 Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector
by Andrea Bastianin

2009 It Pays to Violate: How Effective are the Basel Accord Penalties?
by da Veiga, B. & Chan, F. & McAleer, M.J.

2009 Forecasting Realized Volatility with Linear and Nonlinear Models
by McAleer, M.J. & Medeiros, M.C.

2009 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
by Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J.

2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

2009 Forecasting volatility and spillovers in crude oil spot, forward and future markets
by Chang, C-L. & McAleer, M.J. & Tansuchat, R.

2009 Modelling conditional correlations for risk diversification in crude oil markets
by Chang, C-L. & McAleer, M.J. & Tansuchat, R.

2009 Predicting Betas: Two new methods
by Tusell Palmer, Fernando Jorge & Esteban González, María Victoria

2009 Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
by Daniel Preve & Anders Eriksson & Jun Yu

2009 Volatility under Bounded Rationality
by Nhat Le

2009 Automated financial multi-path GETS modelling
by Genaro Sucarrat & Alvaro Escribano

2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
by Thorsten Lehnert & Bart Frijns & Remco Zwinkels

2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
by Jordà, Òscar & Taylor, Alan M.

2009 Testing Asymmetric-Information Asset Pricing Models
by Kelly, Bryan & Ljungqvist, Alexander P.

2009 Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR
by Catherine Fayad & Roberto Fortich & Ignacio Velez-Pareja

2009 Forecasting bank loans loss-given-default
by Joao A. Bastos

2009 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
by Li LIN & Ruo En REN & Didier SORNETTE

2009 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
by Camilo SERRANO & Martin HOESLI

2009 Bayesian Extreme Value Mixture Modelling for Estimating VaR
by Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley

2009 Extreme Value GARCH modelling with Bayesian Inference
by Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao

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
by Alexandros E. Milionis & Evangelia Papanagiotou

2009 Econometric Analysis of Financial Data in Risk Management
by Fantazzini , Dean

2009 Credit Risk Management (Cont.)
by Fantazzini , Dean

2009 Methodological Approaches In Realizing And Applying Cost-Benefit Analysis For The Investment Projects
by Munteanu Valentin & Pantea Marius & Pelin Andrei & Gligor Delia

2009 The Effect of Macroeconomic Factors on Indian Share Prices: A Sectoral Approach
by Guntur Anjana Raju & Harip Khanapuri

2009 Forecasting The Exchange Rate Series With Ann: The Case Of Turkey
by Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag

2009 Do the Chinese Bourses (Stock Markets) Predict Economic Growth?
by Jeffrey E. Jarrett & Xia Pan & Shaw Chen

2009 Exchange Rate And Its Impact On Foreign Economic Activity
by Boris KHOLOD & Alexei ZADOIA

2009 Sermaye Yapisini Etkileyen Firmaya Ozgu Faktorlerin Analizi: IMKB Hizmet Firmalari Uzerine Bir Uygulama
by Dilek Demirhan

2009 Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var
by CATHERINE FAYAD HERNÁNDEZ & ROBERTO CARLOS FORTICH MESA & IGNACIO VÉLEZ - PAREJA

2009 ¿Qué Tan Buenos Son Los Patrones Del Igbc Para Predecir Su Comportamiento?
by JULIO CÉSAR ALONSO & JUAN CARLOS GARCÍA

2009 Long Term Financing Decision at the Level of Companies
by Dobrota Gabriela & Chirculescu Maria Felicia

2009 Macro stress tests and crises: what can we learn?
by Rodrigo Alfaro & Mathias Drehmann

2009 Volatility Spillover Effect from Volatility Implied Index to Emerging Markets
by Turhan Korkmaz & Emrah Ismail Çevik

2009 Hedge fund and market risk: new concepts and models, beyond VaR
by Maria Debora Braga

2009 Testing The Efficiency Market Hypothesis For The Romanian Stock Market
by Bogdan Dima & Laura Raisa Milos

2009 Impact Of Financial Crisis On Developing Countries
by Ph.D Luminita Horhota, & Ph.D Cristina Nicoleta Matei

2009 The financial information's vulnerability
by Horia CRISTEA

2008 Can earnings forecast be improved by taking into account the forecast bias?
by Lardic, Sandrine & Dossou, François & Michalon, Karine

2008 Term Structure Of Interest Rates Analysis In The Spanish Market
by Barberà Mariné, M.G. & Garbajosa Cabello, M.J. & Guercio, M.B.

2008 Technical Analysis and Nonlinear Dynamics
by Salazar Soares, Vasco

2008 Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
by Miguel A. Ferreira & Pedro Santa-Clara

2008 A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius

2008 Testing directional forecast value in the presence of serial correlation
by Oliver Blaskowitz & Helmut Herwartz

2008 Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia
by Söderberg, Jonas

2008 Contagion as Domino Effect in Global Stock Markets
by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C.

2008 A decision rule to minimize daily capital charges in forecasting value-at-risk
by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

2008 The ten commandments for optimizing value-at-risk and daily capital charges
by McAleer, M.J.

2008 Financial Market Integration Under EMU
by Jappelli, Tullio & Pagano, Marco

2008 Can research committees add value for investors. An analysis of Lehman Brothers Ten Uncommon Values recommendations
by Groysberg, Boris & Healy, Paul & Gui, Yang

2008 Credit Risk Management
by Fantazzini, Dean

2008 An Econometric Analysis of Financial Data in Risk Management
by Fantazzini, Dean

2008 Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates
by Gabriel Bobeica & Elena Bojesteanu

2008 Cost-Benefit Analysis – Economic Tool Used to Aid Decision-Making Regarding the Distribution of Public Funds
by Lucian Buse & Marian Siminica & Daniel Circiumaru

2008 CAMELS Rating System and Forecasting the Financial Failure in the Turkish Commercial Banking Sector
by Murat Çinko & Emin Avci

2008 Methodologic Elements Necessary In Making Forecasts For Regional
by Timerman Dumitru & Deju Mihai

2008 Tax competition – areas of display and efects
by Mitu Narcis Eduard

2008 The foreign direct investments in Romania – contradictories trends
by Ana POPA

2008 Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach
by Lumengo Bonga-Bonga

2007 THE VALUE OF e-CUSTOMER SATISFACTION TO INTERNET COMPANIES
by Lozano, Carmen & Martínez, Soledad & Fuentes, Federico

2007 Extending The Roughness Of The Data Via Transitive Closures Of Similarity Indexes
by Bertran, F.X. & Clara, N. & Ferrer, J.C.

2007 The Use Of Subtle Sets To Studying The Life’S Quality
by Stoica, Marcel Dragos

2007 Unification Point In Methods For The Selection Of Financial Products
by Merigó Lindahl, J.M. & Gil Lafuente, A.M.

2007 Qualitative Answering Surveys And Soft Computing
by Morillas, Antonio & Díaz, Bárbara

2007 Planning Business Activity Under Uncertainty
by Kuznetsov, Leonid A. & Morozov, Andrew S.

2007 Predictive gains from forecast combinations using time-varying model weights
by Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M.

2007 Financial Variables as Predictors of Real Output Growth
by Anthony S. Tay

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 Investment Risk
by Stikhova , Olga

2007 Understanding and measuring liquidity risk
by Andrea Resti & Andrea Sironi

2007 Recent Evolutions On Romanian Capital Market
by Sorin Tudor & Daniela Danciulescu

2007 Foreign Direct Investment In Romania - Recent Trends
by Laura Giurca Vasilescu

2006 A Fuzzy Decision Support System To Identify Establishments With Low Paid Employees In The British Economy
by Malcolm J. Beynon & Keith Whitfield

2006 Fuzzy Logic Approach To Identification And Forecasting Of Financial Time Series Using Elliott Wave Theory
by Andriy Matviychuk

2006 Evaluation Of Iris Ratios Using ?-Cuts
by Lazzari, Luisa L. & Fernández, María José

2006 A Comparison Of K-Means And Fuzzy C-Means Using Background Knowledge
by Goddard, J. & de los Cobos Silva, S.G. & Gutiérrez Andrade, M.A.

2006 Economic Principle On Fuzzy Profit By Weighted Average Value
by Facchinetti, Gisella & Pacchiarotti, Nicoletta

2006 Evaluating The Total Costs Of Purchasing Via Probabilistic And Fuzzy Reasoning
by Costantino, N. & Dotoli, M. & Falagario, M. & Fanti, M. P. & Iacobellis, G.

2006 Modeling Imprecision And Subjectiveness For The Multiattribute Decisions
by Luban, Florica

2006 A Fuzzy Set Approach To Poverty Measurement
by Caramuta, Diego M. & Contiggiani, Federico

2006 Credit Card Application Assessment Using A Neuro-Fuzzy Classification System
by Kitsios, E. & Doumpos, M. & Zopounidis, C.

2006 Intellectual Support Of Small Firms’ Management
by Kuznetsov, Leonid A.

2006 Time series forecasting by principal covariate regression
by Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C.

2006 Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre
by Hernán Herrera Echeverry

2006 Evolutia Comertului International Si Cresterea Economica. Teorii Ale Comertului International
by Ciurez Ecaterina Nicoleta

2006 Modern Indicators Of Measuring A Firm’S Competitivity
by Laura Giurca Vasilescu & Daniela Danciulescu

2006 Assessment Of The Exchange Rate Volatility In New Eu Member States And Romania1
by Daniel Stavárek

2005 A Fuzzy Characterization Of Uncertainty In Financial Crises
by Pazzi, Jorge & Tohmé, Fernando

2005 New Product Ideas Screening Decision With Approximate Evaluations: Optimization Approach
by Smimou, K. & Bhatt, S. K. & Dahl, D. W

2005 Interval Weights In Ahp By Linear And Quadratic Programming
by Entani, T. & Sugihara, K. & Tanaka, H.

2005 Rbf Centers Initialization Using Fuzzy Clustering Technique For Function Approximation Problems
by Guillén, A. & Rojas, I. & González, J. & Pomares, H. & Herrera, L.J.

2005 Application Of Crisp And Fuzzy Goal Programming Models For Optimization Of Cropping Pattern In Haraz Sub-Basin In Iran
by Asadpour, H. & Khalilian, S. & Peykani Gh. R.

2004 The informational role of financial analysts: Interpreting public disclosures
by Byard, Donal & Shaw, Kenneth

2003 Predicting Customer Lifetime Value in Multi-Service Industries
by Donkers, A.C.D. & Verhoef, P.C. & de Jong, M.G.

2002 Effectiveness Of System Identification For Complex Systems By The Fuzzy Adaptive Gmdh
by Tomonori Nishikawa & Shizue Shimizu & Masafumi Imai

2002 Behavioristic Analysis And Comparative Evaluation Of Intelligent Methodologies For Short-Term Stock Price Forecasting
by Koulouriotis, D.E. & Emiris, D.M. & Diakoulakis, I.E. & Zopounidis, C.

2002 Artificial Intelligent Based Time Series Forecasting Of Stock Prices Using Digital Filters
by Sfetsos, A. & Siriopoulos, C.

2001 Debt: A Factor Of Both "Good" And "Bad" Stress During An Economic Recession: Evidence From France
by Levasseur, Michel & Bodt, Eric De & Severin, Eric

2001 Credit Derivatives in Managing Off Balance Sheet Risks by Banks
by Cakir, Murat

1998 Time Deformation: Definition and Comparisons
by Le Fol, Gaëlle & Mercier, Ludovic

1993 Bringing GATT into the Core
by Carsten Kowalczyk & Tomas Sjostrom

Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates
by Aaron Tornell & Chunming Yuan

 The Validity of Models on the Information Content of Trades
by  Leif Brandes &  Egon Franck &  Erwin Verbeek

From IMU to TASI: an estimate for Tuscany
by Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo

2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors
by Francesco Guidi, Rakesh Gupta

An analysis of commodity markets: What gain for investors?
by Paresh Kumar Narayan & Seema Narayan & Susan S Sharma

Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
by Oliver D. Bunn & Robert J. Shiller

Multivariate Asset Return Prediction with Mixture Models
by Marc S. Paolella

Detecting Informed Trading Activities in the Options Markets
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE

Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

Investment strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou

Role of diversification risk in financial bubbles
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE

Predictive Power of Information Market Prices
by Maria PUTINTSEVA

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov

The US stock market leads the Federal funds rate and Treasury bond yields
by Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE

Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
by Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER

Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS

Dragon-Kings, Black Swans and the Prediction of Crises
by Didier SORNETTE

Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier SORNETTE & Ryan WOODARD

Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE

Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis