Research classified by Journal of Economic Literature (JEL) codes

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

2018

• Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
• Nyman, Rickard & Kapadia, Sujit & Tuckett, David & Gregory, David & Ormerod, Paul & Smith, Robert, 2018. "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers 704, Bank of England.
• Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
  • Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
• Becker, Janis & Leschinski, Christian, 2018. "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP) dp-624, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
  • Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
• Demary, Markus, 2018. "IW Financial Expert Survey: First Quarter 2018," IW-Reports 2/2018, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
• Renato Faccini & Eirini Konstantinidi, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
• Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018. "Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores
  [A Comparative Analysis among GARCH-M, EGARC," MPRA Paper 84304, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
• Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018. "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers 201809, University of Pretoria, Department of Economics.
• Fisher, Mark & Jensen, Mark J., 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
• Neumann, Tobias, 2018. "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers 708, Bank of England.
• Koresh Galil & Neta Gilat, 2018. "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers 1801, Ben-Gurion University of the Negev, Department of Economics.
• Buss, Adrian & Schönleber, Lorenzo & Vilkov, Grigory, 2018. "Expected Stock Returns and the Correlation Risk Premium," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
• Seyedehzahra NEMATOLLAHI & Giancarlo MANZI, 2018. "Portfolio Management Using Prospect Theory: Comparing Genetic Algorithms and Particle Swarm Optimization," Departmental Working Papers 2018-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
• Nadia Boussaha & Faycal Hamdi & Saïd Souam, 2018. "Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling," EconomiX Working Papers 2018-14, University of Paris Nanterre, EconomiX.
• Salvador Ortí-Camallonga, 2018. "Constraints of Spanish Insolvency Law. A predictive bankruptcy model for Spanish industrial SMEs (2007-2015)," Working Papers 2018/01, Economics Department, Universitat Jaume I, Castellón (Spain).
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018. "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM 2018/35, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• James Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2018. "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," Auburn Economics Working Paper Series auwp2018-03, Department of Economics, Auburn University.
• Afees A. Salisu & Kazeem Isah & Lateef O. Akanni, 2018. "Predicting the stock prices of G7 countries with Bitcoin prices," Working Papers 054, Centre for Econometric and Allied Research, University of Ibadan.
• Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
• Gick, Wolfgang & Weissensteiner, Alex, 2018. "Analysts' Disagreement and Investor Decisions," Working Paper Series 1207, Research Institute of Industrial Economics.
• Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2018. "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Working Papers hal-01769390, HAL.
• Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
• Goodness Aye, 2018. "Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach," Working Papers 201827, University of Pretoria, Department of Economics.
• Demary, Markus, 2018. "IW Financial Expert Survey: Second Quarter 2018," IW-Reports 13/2018, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo Group Munich.
• Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.

2017

• Matej Nevrla, 2017. "Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach," Working Papers IES 2017/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2017.
• Ormos Mihály & Timotity Dusán, 2017. "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 17(2), pages 1-14, June.
  • Mihaly Ormos & Dusan Timotity, 2017. "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers 1704.05332, arXiv.org.
• Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
• Demary, Markus, 2017. "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports 22/2017, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
• Lindblad, Annika, 2017. "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper 80266, University Library of Munich, Germany.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
• Vsevolod I Gorlach, 2017. "Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations," Working Papers 695, Economic Research Southern Africa.
• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  • Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
• Chakraborty, Chiranjit & Joseph, Andreas, 2017. "Machine learning at central banks," Bank of England working papers 674, Bank of England.
• Afees A. Salisu & Umar B. Ndako, 2017. "Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach," Working Papers 028, Centre for Econometric and Allied Research, University of Ibadan.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2017. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," Monash Econometrics and Business Statistics Working Papers 13/17, Monash University, Department of Econometrics and Business Statistics.
• Ke WU & Spencer WHEATLEY & Didier SORNETTE, 2017. "The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability," Swiss Finance Institute Research Paper Series 17-12, Swiss Finance Institute.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
• Mawuli Segnon & Mark Trede, 2017. "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers 6617, Center for Quantitative Economics (CQE), University of Muenster.
• Bell, Peter, 2017. "Example of a Rising NPV Profile for a Mining Project," MPRA Paper 81353, University Library of Munich, Germany.
• Jozef Barunik & Lucie Kraicova, 2017. "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES 2017/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
• Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
  • Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
• Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  • Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2017. "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers) 8488, Inter-American Development Bank.
• Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
• William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
• Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
  • Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 1809. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
  • Andreasen, Martin M. & Christensen, Jens H. E. & Rudebusch, Glenn D., 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
• Antoine Kornprobst, 2017. "Winning Investment Strategies Based on Financial Crisis Indicators," Documents de travail du Centre d'Economie de la Sorbonne 17039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
• Pönkä, Harri, 2017. "Sentiment and sign predictability of stock returns," MPRA Paper 81861, University Library of Munich, Germany.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org.
  • Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
• Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
  • Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org.
• Demary, Markus, 2017. "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports 31/2017, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Journal of Bioeconomics, Springer, vol. 19(2), pages 223-245, July.
  • Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017. "Biotechnical portfolio management of mixed-species forests," Post-Print hal-01530808, HAL.
• William Barnett & Liting Su, 2017. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach1," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201707, University of Kansas, Department of Economics, revised Oct 2017.
• Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
• Biqing Cai & Jiti Gao, 2017. "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers 18/17, Monash University, Department of Econometrics and Business Statistics.
• GÜNE? TOPÇU & Ahmet Burak Emel & Tu?çe Özbey Gürkan, 2017. "Early Warning Modeling For Financial Failure: Borsa Istanbul Case," Proceedings of International Academic Conferences 5808259, International Institute of Social and Economic Sciences.
• Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Center for European, Governance and Economic Development Research Discussion Papers 326, University of Goettingen, Department of Economics.
• Voraprapa Nakavachara & Nuarpear Warn Lekfuangfu, 2017. "Predicting the Present Revisited: The Case of Thailand," PIER Discussion Papers 70, Puey Ungphakorn Institute for Economic Research, revised Oct 2017.
• Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
• Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach," Working Papers 2017-14, Economic Research Institute, Bank of Korea.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "How to Estimate Beta?," Hannover Economic Papers (HEP) dp-617, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017. "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP) dp-619, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• David Haab & Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
• Santiago Gamba & Oscar Jaulín & Angélica Lizarazo & Juan Carlos Mendoza & Paola Morales & Daniel Osorio & Eduardo Yanquen, 2017. "SYSMO I: A Systemic Stress Model for the Colombian Financial System," Borradores de Economia 1028, Banco de la Republica de Colombia.
• Cukierman, Alex & Lustenberger, Thomas, 2017. "International evidence on professional interest rates forecasts: The impact of forecasting ability," CEPR Discussion Papers 12489, C.E.P.R. Discussion Papers.
• TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
• Gospodinov, Nikolay, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
• Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
• Agaton, Casper, 2017. "Real Options Analysis of Renewable Energy Investment Scenarios in the Philippines," MPRA Paper 83478, University Library of Munich, Germany.
• Amal Hamrouni & Ramzi Benkraiem & Majdi Karmani, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Review of Accounting and Finance, Emerald Group Publishing, vol. 16(2), pages 260-280, May.
  • Hamrouni Amal & Ramzi Benkraiem & Karmani Majdi, 2017. "Voluntary information disclosure and sell-side analyst coverage intensity," Post-Print hal-01528402, HAL.
• Barnes, Michelle L. & Olivei, Giovanni P., 2017. "Financial variables and macroeconomic forecast errors," Working Papers 17-17, Federal Reserve Bank of Boston.
• Agaton, Casper, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," MPRA Paper 83798, University Library of Munich, Germany.
• Marcin Flotyński, 2017. "Basel III long-term liquidity standard in the context of the profitability of banks and volatility of their stock prices – quantitative analysis for the euro area," NBP Working Papers 274, Narodowy Bank Polski, Economic Research Department.
• Ruenzi, Stefan & Weigert, Florian, 2017. "Momentum and Crash Sensitivity," Working Papers on Finance 1801, University of St. Gallen, School of Finance.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017. "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," VNIVERSITAS ECONÓMICA 015939, UNIVERSIDAD JAVERIANA - BOGOTÁ.
• Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
  • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
• Savvakis C. Savvides, 2017. "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers 2017-17, JDI Executive Programs.
• Boryana Bogdanova & Bozhidar Nedev, 2017. "Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock," Bulgarian Economic Papers (www.bep.bg) bep-2017-11, St Kliment Ohridski University of Sofia, Faculty of Economics and Business Administration / Center for Economic Theories and Policies, revised Dec 2017.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  • Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
• Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
  • Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin & Thesmar, David, 2017. "Sticky Expectations and the Profitability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
• León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
• Lansing, Kevin J. & Ma, Jun, 2017. "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 62-87.
  • Lansing, Kevin J. & Ma, Jun, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco, revised 27 Jun 2016.
• Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
• Yu-Chin Hsu & Hsiou-Wei Lin & Kendro Vincent, 2017. "Analyzing the Performance of Multi-Factor Investment Strategies under Multiple Testing Framework," IEAS Working Paper : academic research 17-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Svec, Jiri & Katrak, Xerxis, 2017. "Forecasting volatility with interacting multiple models," Finance Research Letters, Elsevier, vol. 20(C), pages 245-252.
• Dorra Najar, 2017. "Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 239-263, January.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
  • Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
• Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017. "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 222-238, Enero-Mar.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• André Tomfort, 2017. "Detecting Asset Price Bubbles: A Multifactor Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 46-55.
• Zaidi Isa & Nur Amalina Shafie, 2017. "A Stochastic Approach for Determining Profit Rate of Islamic Financing Products," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 154-163.
• H Peyton Young & Mark Paddrik, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
• Leslie G. Manison & Savvakis C. Savvides, 2017. "Neglect Private Debt at the Economy’s Peril: Applying Balance Sheet Recession Analysis to the Post Bail-in Cyprus Economy," Development Discussion Papers 2017-06, JDI Executive Programs.
• Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
  • Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
  [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
• Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
• D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017. "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 499-516, March.
• Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
• Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.
• Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
• Degiannakis, Stavros & Potamia, Artemis, 2017. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
  • Degiannakis, Stavros & Potamia, Artemis, 2016. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper 74670, University Library of Munich, Germany.
• Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
• Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
  • Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
  • Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
• Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
• Argel S. Masa & John Francis T. Diaz, 2017. "Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(1), pages 23-53, February.
• Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  • Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
• Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 237-247, October.
  • Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper 77147, University Library of Munich, Germany.
• Petr Houdek & Petr Koblovský & Jan Plaček & Luboš Smrčka, 2017. "Causality Illusion and Overconfidence in Predicting (Quasi)Stochastic Financial Events," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2017(1), pages 51-63.
• Kok, Christoffer & Pancaro, Cosimo & Mirza, Harun, 2017. "Macro stress testing euro area banks' fees and commissions," Working Paper Series 2029, European Central Bank.
• Andrey Kudryavtsev & Shosh Shahrabani & Yaniv Azoulay, 2017. "Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better," Bulletin of Applied Economics, Risk Market Journals, vol. 4(1), pages 13-33.
• Reimers, Benjamin, 2017. "Momentumeffekt: Eine empirische Analyse der DAXsector Indizes des deutschen Prime Standards," Wismar Discussion Papers 01/2017, Hochschule Wismar, Wismar Business School.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2017. "Investment in capital markets," MPRA Paper 77414, University Library of Munich, Germany.
• Groenborg, Niels & Lunde, Asger & Timmermann, Allan G & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
• Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
• Mihalina, Emil & Krivicic, Ivan & Antunovic, Tihomir, 2017. "Winter Saeculum," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(1), pages 39-52.
• Egorova, Yana, 2017. "Инвестирование Денежных Средств В Условиях Экономического Кризиса В 2017 Году," MPRA Paper 77648, University Library of Munich, Germany.
• Lundström, Christian, 2017. "On the Returns of Trend-Following Trading Strategies," Umeå Economic Studies 948, Umeå University, Department of Economics.
• Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 5-28.
• Doncho Donev, 2017. "Price bubbles and financial markets efficiency," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 115-131.
• Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
  • Nick Taylor, 2017. "Timing Strategy Performance in the Crude Oil Futures Market," Bristol Accounting and Finance Discussion Papers 17/7, School of Economics, Finance, and Management, University of Bristol, UK.
• Dimitrios Lyridis & Nikolaos Manos & Panayotis Zacharioudakis & Athanassios Pappas & Aristidis Mavris, 2017. "Measuring Tanker Market Future Risk with the use of FORESIM," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 38-53, January-M.
• Ayanda Sikhosana & Goodness C. Aye, 2017. "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers 201721, University of Pretoria, Department of Economics.
• Camba-Méndez, Gonzalo & Werner, Thomas, 2017. "The inflation risk premium in the post-Lehman period," Working Paper Series 2033, European Central Bank.
• Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 10(1), pages 60-71, March.
• Knotek, Edward S. & Zaman, Saeed, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Paper 1702, Federal Reserve Bank of Cleveland.
• Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige, 2017. "SenSR: A sentiment-based systemic risk indicator," DNB Working Papers 553, Netherlands Central Bank, Research Department.
• Khimich, Natalya, 2017. "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 31-52.
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
• Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
• Jamalludin, Nadia, 2017. "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper 78422, University Library of Munich, Germany.
• Jamalludin, Nadia, 2017. "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper 78423, University Library of Munich, Germany.
• Sofi, Farah Nuramalina, 2017. "The Relationship of RHB Bank Berhad’s Profitability with Leverage and Size (Total Asset)," MPRA Paper 78499, University Library of Munich, Germany.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
• Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Data Science & Digital Society," SFB 649 Discussion Papers SFB649DP2017-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, Open Access Journal, vol. 5(3), pages 1-20, July.
  • Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers 17-07, University of Copenhagen. Department of Economics.
• Katarina Juselius, 2017. "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers 17-08, University of Copenhagen. Department of Economics.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity : An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland, Institute for Economies in Transition.
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo Group Munich.
• FERROUHI, El Mehdi, 2017. "Determinants of bank deposits in Morocco," MPRA Paper 79075, University Library of Munich, Germany.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
• Davide De Gaetano, 2017. "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre' 0219, Department of Economics - University Roma Tre.
• Gerba, Eddie & Żochowski, Dawid, 2017. "Knightian uncertainty and credit cycles," Working Paper Series 2068, European Central Bank.
• Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers SFB649DP2017-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Demary, Markus, 2017. "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports 12/2017, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
• Schlütter, Sebastian, 2017. "Scenario-based capital requirements for the interest rate risk of insurance companies," ICIR Working Paper Series 28/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Quaas, Georg, 2017. "Irrungen und Wirrungen im Umfeld der Geldtheorie: Wohin einseitige Darstellungen der Zentralbanken führen
  [Aberrations and confusions of the theory of money: Where ambiguous formulations lead to]," MPRA Paper 79735, University Library of Munich, Germany.
• Jaccard, Ivan & Smets, Frank, 2017. "Structural asymmetries and financial imbalances in the eurozone," Working Paper Series 2076, European Central Bank.
• H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Bukvić, Rajko & Pavlović, Radica & Gajić, Aleksandar, 2017. "Static and Dynamic Indicators in the Analysis of Internal Sources of Companies’ Investments Financing," MPRA Paper 79810, University Library of Munich, Germany, revised 2017.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017. "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers 2017-37, Kiel Institute for the World Economy (IfW).
• Wilson, Daniel J., 2017. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses," Working Paper Series 2017-13, Federal Reserve Bank of San Francisco.
• Davide De Gaetano, 2017. "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre' 0220, Department of Economics - University Roma Tre.
• Gustavo S. Cortes & Marc D. Weidenmier, 2017. "Stock Volatility and the Great Depression," NBER Working Papers 23554, National Bureau of Economic Research, Inc.
• Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.

2016

• Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  • Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
• Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
• Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
• Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
• Roy Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter Beling & William Scherer, 2016. "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 41-59, January.
• Alexander Hölzl & Sebastian Lobe, 2016. "Predicting above-median and below-median growth rates," Review of Managerial Science, Springer, vol. 10(1), pages 105-133, January.
• Alasdair Brown & Dooruj Rambaccussing & James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Economics & Management Discussion Papers em-dp2016-01, Henley Business School, Reading University.
  • Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2016. "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Dundee Discussion Papers in Economics 293, Economic Studies, University of Dundee.
• Monira Essa Aloud, 2016. "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 87-95.
• Mansoor Maitah & Petr Prochazka & Michal Cermak & Karel Šrédl, 2016. "Commodity Channel Index: Evaluation of Trading Rule of Agricultural Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 176-178.
• Adil EL Fakir & Mohamed Tkiouat, 2016. "Single or Menu Contracting: A Game Theory Application of the Hersanyi Model to Mudaraba Financing," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 221-230.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
• Platikanova, Petya & Mattei, Marco Maria, 2016. "Firm geographic dispersion and financial analysts’ forecasts," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 71-89.
• Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  • Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
• Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW).
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
• BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman, 2016. "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," MPRA Paper 69636, University Library of Munich, Germany.
• Eduardo Sandoval & Macarena Soto, 2016. "Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 9(2), pages 1-17.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2016. "Modelación de la asimetría y la curtosis condicionales en series financieras colombianas," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 76, February.
• Miller Ariza, 2016. "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star," VNIVERSITAS ECONÓMICA 014297, UNIVERSIDAD JAVERIANA - BOGOTÁ.
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW).
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
• Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 387-416, February.
  • Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 387-416, February.
• Marcin Chlebus, 2016. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers 2016-06, Faculty of Economic Sciences, University of Warsaw.
• Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo Group Munich.
• Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES 2015/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
  • Jozef Barunik & Barbora Malinska, 2015. "Forecasting the term structure of crude oil futures prices with neural networks," Papers 1504.04819, arXiv.org.
• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  • Hui Jun Zhang & Jean-Marie Dufour & John Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
  • Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
• Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016. "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, vol. 54(C), pages 68-76.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, vol. 64(C), pages 25-34.
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  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
• Rangga Handika & Rangga Handika & Sigit Triandaru, 2016. "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 814-821.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
• Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016. "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 79-92.
• Vasile GEORGESCU, 2016. "Using Nature-Inspired Metaheuristics to Train Predictive Machines," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 5-24.
• Marcel Ioan BOLOS & Diana Claudia SABĂU-POPA & Emil SCARLAT & Ioana-Alexandra BRADEA & Camelia DELCEA,, 2016. "A Business Intelligence Instrument for Detection and Mitigation of Risks Related to Projects Financed from Structural Funds," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 165-178.
• Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng, 2016. "A nonparametric approach to test for predictability," Economics Letters, Elsevier, vol. 148(C), pages 10-16.
• Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
  • Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers 2015.101, Fondazione Eni Enrico Mattei.
• Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar, 2016. "Risk and risk management in the credit card industry," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 218-239.
• Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016. "A modelling framework for analysing the role of superannuation in Australia's financial system," Centre of Policy Studies/IMPACT Centre Working Papers g-266, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
• Lukas Borke & Wolfgang K. Härdle, 2016. "Q3-D3-Lsa," SFB 649 Discussion Papers SFB649DP2016-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers 16-099/III, Tinbergen Institute.
• LAI Ping-fu (Brian) & CHO Kwai-yee (Kevin), 2016. "Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market," Public Finance Quarterly, State Audit Office of Hungary, vol. 61(1), pages 110-123.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW).
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
• Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  • Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
• Haibin Xie & Qilin Qin & Shouyang Wang, 2016. "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 19-31, November.
• Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
• Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  • Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
• Yaniv Azoulay & Andrey Kudryavtsev & Shosh Shahrabani, 2016. "Accumulating approach to the life-cycle pension model: practical advantages," Financial Theory and Practice, Institute of Public Finance, vol. 40(4), pages 413-436.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016. "Superannuation and Macroeconomic Growth and Stability," Centre of Policy Studies/IMPACT Centre Working Papers g-267, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Ghoddusi, Hamed & Fahim, Arash, 2016. "Volatility can be detrimental to option values!," Economics Letters, Elsevier, vol. 149(C), pages 5-9.
• Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
• Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
• Godfrey, Keith R.L., 2016. "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 323-334.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
  • Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
• Frantisek Darena & Jonas Petrovsky & Jan Zizka & Jan Prichystal, 2016. "Analyzing the correlation between online texts and stock price movements at micro-level using machine learning," MENDELU Working Papers in Business and Economics 2016-67, Mendel University in Brno, Faculty of Business and Economics.
• Lukasz, Rachel & Fisher, Jack, 2016. "Assessing vulnerabilities to financial shocks in some key global economies," Bank of England working papers 636, Bank of England.
• Petr Makovský, 2016. "The relationship between the real economy and financial sector regarding technological bubbles," Ekonomika a Management, University of Economics, Prague, vol. 2016(3).
• Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno, 2016. "Risk premia estimation in Brazil: wait until 2041," Working Papers, Department of Economics 2016_38, University of São Paulo (FEA-USP).
• David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
• Gergely Patrik Balla & Tamás Ilyés, 2016. "Liquidity Needs And Liquidity Costs Of An Instant Payment System," MNB Occasional Papers 2016/124, Magyar Nemzeti Bank (Central Bank of Hungary).
• Igor Živko & Mile BoÅ¡njak, 2016. "Determinants of life insurance demand in new EU member states: panel data analysis," Notitia - journal for sustainable development, Notita Ltd., vol. 1(2), pages 13-20, December.
• Massimiliano Kaucic & Roberto Daris, 2016. "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(4 (Winter), pages 359-384.
• Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 44, pages 5-24.
  • Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper 71946, University Library of Munich, Germany, revised 2016.
• Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2016. "Factorisable Multi-Task Quantile Regression," SFB 649 Discussion Papers SFB649DP2016-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016. "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 146-169, December.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016. "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
  [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, University of Economics, Prague, vol. 2016(8), pages 905-921.
• Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
• Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
• Toni Vide, 2016. "Does It Pay To Be Good? An Analysis Of Vice And Virtue Stock Performance In The Eurozone," Faculty of Management Working Paper Series 12016, University of Warsaw, Faculty of Management.
• Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
• Böing, Tobias & Stadtmann, Georg, 2016. "Money growth and aggregate stock returns," Discussion Papers 390, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo Group Munich.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Toni Vide, 2016. "Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(6), pages 113-125, June.
• Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
• Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
  • Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin & Thesmar, David, 2017. "Sticky Expectations and the Profitability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
• Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series 16-62, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series 16-53, Swiss Finance Institute.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series 5963, CESifo Group Munich.
  • Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016. "The Renminbi Central Parity: An Empirical Investigation," Working Papers 102016, Hong Kong Institute for Monetary Research.
  • Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017. "The Renminbi central parity : An empirical investigation," BOFIT Discussion Papers 7/2017, Bank of Finland, Institute for Economies in Transition.
• Rosales Contreras, Jorge, 2016. "Intervalos de confianza para VaR y ES, y su aplicación al mercado colombiano," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(1), pages 55-82, enero-jun.
• Pareja Vasseur, Julián & Mejia Aguirre, Mauricio & Gallego Gómez, Marcos, 2016. "Evaluación mediante opciones reales de proyectos de inversión en el sector de distribución de combustibles. / Investment projects evaluation through real option on the fuel distribution sector," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(2), pages 219-246, julio-dic.
• De la Torre, Oscar & Galeana, Evaristo & Aguilasocho, Dora, 2016. "The Use Of The Sustainable Investment Against The Broad Market One. A First Test In The Mexican Stock Market / El Uso De La Inversión Sustentable En Comparación De La Inversión Convencional. Una Prime," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 22(3), pages 117-123.
• Dorota Krupa & Michal Buszko, 2016. "Characteristics and prospects of development of securitisation investment funds market in Poland," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 15(3), pages 357-370, September.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
  • Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
• Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26.
  • Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
• Alexis Bienvenüe & Christian Y. Robert, 2016. "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  • Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
• Jedediah Baker, 2016. "Forecasting Volume And Price Impact Of Earnings Surprises Using Google Insights," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 53-62.
• José Carlos Trejo García & Humberto Ríos Bolívar & Francisco Almagro Vázquez, 2016. "Actualización del modelo de riesgo crediticio, una necesidad para la banca revolvente en México," REVISTA FINANZAS Y POLÍTICA ECONÓMICA, UNIVERSIDAD CATOLICA DE COLOMBIA, vol. 8(1), pages 17-30, March.
• Cheteni, Priviledge, 2016. "Stock market volatility using GARCH models: Evidence from South Africa and China stock markets," MPRA Paper 77355, University Library of Munich, Germany.
• Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016. "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
• Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  • Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016. "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, vol. 21(2), pages 596-632, June.
• Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
  • Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers wp511, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele, 2016. "A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors," Working Papers 19, European Stability Mechanism.
• Angelica CucÅŸa (Stratulat), 2016. "Risk Modeling Approaches in Terms of Volatility Banking Transactions," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 455-460, February.
• Aurora Murgea & Milena-Jana Schank, 2016. "Why do Goals Matter? Sport Events and Capital Market Returns," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 577-582, February.
• Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
  • Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
  • Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015. "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers 2015-02, Department of Economics and Business Economics, Aarhus University.
• Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
  • Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
• Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
• Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
• Parker, Edgar, 2016. "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper 80039, University Library of Munich, Germany.
• Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Širůček, Martin & Galečka, Ondřej, 2016. "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper 80526, University Library of Munich, Germany.
• Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  • Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2017. "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers) 8488, Inter-American Development Bank.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  • Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
• Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
  • Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
• V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series 16-12, Swiss Finance Institute.
  • Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Papers 1602.08258, arXiv.org.

2015

• Khan, Dr. Muhammad Irfan & Syed, Muhammad Salman, 2015. "Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange," MPRA Paper 72647, University Library of Munich, Germany, revised Jul 2015.
• Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
• Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 798-838.
• Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
  • Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
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• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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• Mei, Bin, 2015. "Illiquidity and risk of commercial timberland assets in the United States," Journal of Forest Economics, Elsevier, vol. 21(2), pages 67-78.
• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
• Lyle, Matthew R. & Wang, Charles C.Y., 2015. "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, vol. 116(3), pages 505-525.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015. "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, vol. 25(C), pages 19-26.
• Igor Paholok, 2015. "Credit Value Adjustment and Economic Motivation to Trade on PXE," Prague Economic Papers, University of Economics, Prague, vol. 2015(3), pages 245-259.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Bucio Pacheco, Christian, 2015. "Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(1), pages 65-94, enero-jun.
• Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
• Tao Chen & Erin Pik Ki So & Liang Wu & Isabel Kit Ming Yan, 2015. "The 2007–2008 U.S. Recession: What Did The Real-Time Google Trends Data Tell The United States?," Contemporary Economic Policy, Western Economic Association International, vol. 33(2), pages 395-403, April.
• Javier Prado-Dominguez & Carlos Fernández-Herráiz, 2015. "A Sharpe-ratio-based measure for currencies," European Journal of Government and Economics, Europa Grande, vol. 4(1), pages 67-75, June.
• Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.
• Liu, Chengwei & Chan, Yixiang & Alam Kazmi, Syed Hasnain & Fu, Hao, 2015. "Financial Fraud Detection Model Based on Random Forest," MPRA Paper 65404, University Library of Munich, Germany.
• Paul Bedon Garcia & Gabriel Rodriguez, 2015. "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers 2015-400, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
• Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI, 2015. "Adaptive Expectations with Correction Bias: Evidence from the lab," Working Papers 409, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
• Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Luminiţa, IONESCU & Sami, BUHUR, 2015. "The Fiscal And Financial Control Reform In Romania And Turkey: A Comparative Study," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 6(2), pages 27-34.
• Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural, 2015. "Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması
  [Extracting risk-neutral probability distribution from Brent oil options]," MPRA Paper 65704, University Library of Munich, Germany.
• Gábor Kutasi, 2015. "Banking contagion under different exchange rate regimes in CEE," Society and Economy, Akadémiai Kiadó, Hungary, vol. 37(1), pages 109-127, March.
• Greg Ekpung Edame & Okoiarikpo Benjamin Okoi, 2015. "Fiscal Deficits and Economic Growth in Nigeria: A Chow Test Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 748-752.
• Krzysztof DRACHAL, 2015. "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, vol. 3(2), pages 136-142.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2015. "Socially responsible and conventional investment funds: performance comparison and the global financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2541-2562, May.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," CEIS Research Paper 310, Tor Vergata University, CEIS, revised 18 Feb 2014.
  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel, 2014. "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," Working Paper series 04_14, Rimini Centre for Economic Analysis.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  • Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
  • Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
  • Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
• Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
• Mohsen Ghobadi, Mitra Torabi, 2015. "Investment Rankings Based On Technical Analysis By Fuzzy Mcdm In Tehran Stock Exchange," Ekonomika, Journal for Economic Theory and Practice and Social Issues 2015-02, „Ekonomika“ Society of Economists, Niš (Serbia).
• Neely, Christopher J., 2015. "Financial Engineering Versus Cancer," Economic Synopses, Federal Reserve Bank of St. Louis, issue 18.
• Jiahan Li & Ilias Tsiakas & Wei Wang, 2015. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(2), pages 293-341.
  • Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series 05_14, Rimini Centre for Economic Analysis.
• Vuković, Bojana & Mijić, Kristina & Spahić, Nataša, 2015. "Concentration Of Tobacco Market: Evidence From Serbia," Economics of Agriculture, Institute of Agricultural Economics, vol. 62(2).
• Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  • Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
• Hoffmann, Steffen, 2015. "Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 660, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
• Hoffmann, Steffen, 2015. "Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 661, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, vol. 64(C), pages 25-34.
  • Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers hal-01627581, HAL.
  • Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois, 2015. "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers - Cahiers du LEF 2015-07, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Jul 2015.
• Dhaoui, Abderrazak & Audi, Mohamed & Ouled Ahmed Ben Ali, Raja, 2015. "Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches," MPRA Paper 66029, University Library of Munich, Germany.
• Peter B. Dixon & James. A. Giesecke & Maureen T. Rimmer, 2015. "Superannuation within a financial CGE model of the Australian economy," Centre of Policy Studies/IMPACT Centre Working Papers g-253, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.
• Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle, 2015. "Copula-Based Factor Model for Credit Risk Analysis," SFB 649 Discussion Papers SFB649DP2015-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Alexandros M. Goulielmos, 2015. "The Multi-faceted Character of Risk in Maritime Freight Markets (Panamax) 1996-2012," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(1-2), pages 67-86, January-M.
• Mamipour, Siab & Vaezi Jezeie, Fereshteh, 2015. "Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach," MPRA Paper 66202, University Library of Munich, Germany.
• David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
  • Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters,in: NBER International Seminar on Macroeconomics 2015 National Bureau of Economic Research, Inc.
  • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
  • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
• Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
• Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Energy Economics, Elsevier, vol. 50(C), pages 391-402.
  • Narayan, Paresh Kumar & Liu, Ruipeng, 2015. "A unit root model for trending time-series energy variables," Working Papers fe_2015_05, Deakin University, Department of Economics.
• Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
• António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
• Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015. "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 263-275.
• Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
• Ballestra, Luca Vincenzo & Cecere, Liliana, 2015. "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, vol. 14(C), pages 45-55.
• Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
  • Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
• Vortelinos, Dimitrios I. & Lakshmi, Geeta, 2015. "Market risk of BRIC Eurobonds in the financial crisis period," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 295-310.
• Tomić, Bojan & Sesar, Andrijana, 2015. "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper 66816, University Library of Munich, Germany.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2015. "Study Regarding The Markowitz Model Of Portfolio Selection," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(Supplemen), pages 195-206, September.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015. "South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201570, University of Pretoria, Department of Economics.
• Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2015. "Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns," Computational Statistics, Springer, vol. 30(3), pages 821-843, September.
  • Shiyi Chen & Kiho Jeong & Wolfgang K. Härdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Jairo Fúquene & Marta Álvarez & Luis Raúl Pericchi, 2015. "A robust Bayesian dynamic linear model for Latin-American economic time series: “the Mexico and Puerto Rico cases”," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-17, December.
• MOROSAN Adrian, 2015. "Some Points Of View Regarding The Definitions Of The Concepts Of Explanation, Understanding And Causality In The Social Sciences," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(1), pages 130-136, February.
• Gheorghe HURDUZEU & Radu Cristian MUSETESCU & Georgeta Madalina MEGHISAN, 2015. "Financial Market Reaction To Changes In The Volatilities Of Cds Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 152-165, September.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  • Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  • Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016. "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4655-4665, October.
  • Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2015. "Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test," Working Papers 201576, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015. "Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test," Working Papers 201575, University of Pretoria, Department of Economics.
• Situngkir, Hokky, 2015. "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper 67247, University Library of Munich, Germany.
• Buncic, Daniel & Tischhauser, Martin, 2017. "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
  • Buncic, Daniel & Tischhauser, Martin, 2015. "Macroeconomic Factors and Equity Premium Predictability," Economics Working Paper Series 1522, University of St. Gallen, School of Economics and Political Science.
• Bams, Dennis & Pisa, Magdalena & Wolff, Christian C, 2015. "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers 10889, C.E.P.R. Discussion Papers.
• Bams, Dennis & Pisa, Magdalena & Wolff, Christian C, 2015. "Ripple effects from industry defaults," CEPR Discussion Papers 10891, C.E.P.R. Discussion Papers.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
• Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
• Dacorogna, Michel M & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," MPRA Paper 67402, University Library of Munich, Germany.
  • Dacorogna, Michel & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers WP1517, ESSEC Research Center, ESSEC Business School.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
• Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
• Sornette, Didier & Cauwels, Peter, 2015. "Financial Bubbles: Mechanisms and Diagnostics," Review of Behavioral Economics, now publishers, vol. 2(3), pages 279-305, October.
• Dominik Vuletić, 2015. "Next Global Crisis: Greatest Recession in the History of Capitalism is at the Doorstep," EFZG Working Papers Series 1509, Faculty of Economics and Business, University of Zagreb.
• Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  • Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers 201582, University of Pretoria, Department of Economics.
• Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  • Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.

2014

• Ozge KORKMAZ & Suleyman Serdar KARACA, 2014. "Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(1), pages 21-29.
• Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  • M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
• Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
• Mason, Charles F. & A. Wilmot, Neil, 2014. "Jump processes in natural gas markets," Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
  • Charles F. Mason & Neil Wilmot, 2014. "Jump Processes in Natural Gas Markets," CESifo Working Paper Series 4604, CESifo Group Munich.
• Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  • Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  • Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
• Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
• Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
• Altman, Edward I. & Kalotay, Egon A., 2014. "Ultimate recovery mixtures," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 116-129.
• Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen, 2014. "Loss given default for leasing: Parametric and nonparametric estimations," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 364-375.
• Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
• Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  • Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
• Dranev Yury & Maxim Babushkin, 2014. "Asymmetric exchange-rate exposure in BRIC countries," HSE Working papers WP BRP 27/FE/2014, National Research University Higher School of Economics.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
  • Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
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• Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
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• Briec, Walter & Oms, Laurence & Paget-Blanc, Eric, 2014. "Shortage function and portfolio selection: On some special cases and extensions," Finance Research Letters, Elsevier, vol. 11(3), pages 295-302.
• Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle, 2014. "Disagreement and asset prices," Journal of Financial Economics, Elsevier, vol. 114(2), pages 226-238.
• Bosman, Ronald & Kräussl, Roman & van Galen, Thomas, 2014. "Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception," CFS Working Paper Series 495, Center for Financial Studies (CFS).
  • Roman Kräussl & Ronald Bosman & Thomas van Galen, 2014. "Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception," LSF Research Working Paper Series 14-11, Luxembourg School of Finance, University of Luxembourg.
• Elias Einiö, 2014. "R&D Subsidies and Company Performance: Evidence from Geographic Variation in Government Funding Based on the ERDF Population-Density Rule," The Review of Economics and Statistics, MIT Press, vol. 96(4), pages 710-728, October.
• Adelino, Manuel & Scott Frame, W. & Gerardi, Kristopher, 2017. "The effect of large investors on asset quality: Evidence from subprime mortgage securities," Journal of Monetary Economics, Elsevier, vol. 87(C), pages 34-51.
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• Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
  • BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," CORE Discussion Papers 2014012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Jonas Lorson & Joël Wagner, 2014. "The pricing of hedging longevity risk with the help of annuity securitizations: An application to the German market," Journal of Risk Finance, Emerald Group Publishing, vol. 15(4), pages 385-416, August.
• Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
• Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
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• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
• Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & da Silva, Jorge A. & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 46(04), pages 457-485, November.
  • Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & Silva, Jorge A. da & Richardson, James W., 2014. "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 46(04), November.
• Soylu, Neilan & Korkmaz, Turhan & Çevik, Emrah İsmail, 2014. "The Impact of Central Bank Interest Rate Releases on Financial Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 5(4), pages 89-118, October.
• Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario., 2014. "Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(324), pages .943-988, octubre-d.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo Group Munich.
• Bhargava, Alok, 2014. "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, vol. 183(2), pages 241-250.
• Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin, 2014. "The nonlinear price dynamics of U.S. equity ETFs," Journal of Econometrics, Elsevier, vol. 183(2), pages 193-201.
• Christensen, Ian & Li, Fuchun, 2014. "Predicting financial stress events: A signal extraction approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 54-65.
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• Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
• Lee, Bong-Soo & Ko, Kwangsoo, 2014. "Are Japanese short sellers information detectives?," Journal of the Japanese and International Economies, Elsevier, vol. 34(C), pages 89-97.
• Jozef Barunik & Tomáš Krehlik, 2014. "Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility," Working Papers IES 2014/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
• Kraicová Lucie & Baruník Jozef, 2017. "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
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• Bose, Udichibarna & MacDonald, Ronald & Tsoukas, Serafeim, 2014. "The role of education in equity portfolios during the recent financial crisis," SIRE Discussion Papers 2015-26, Scottish Institute for Research in Economics (SIRE).
  • Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014. "The role of education in equity portfolios during the recent financial crisis," Working Papers 2014_17, Business School - Economics, University of Glasgow.
• Roman Kräussl & Ronald Bosman & Thomas van Galen, 2014. "Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception," LSF Research Working Paper Series 14-11, Luxembourg School of Finance, University of Luxembourg.
  • Bosman, Ronald & Kräussl, Roman & van Galen, Thomas, 2014. "Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception," CFS Working Paper Series 495, Center for Financial Studies (CFS).
• Albu, Lucian Liviu & Lupu, Radu & Calin, Cantemir, 2014. "A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries," Working Papers of Institute for Economic Forecasting 141115, Institute for Economic Forecasting.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
• Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014. "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper 60155, University Library of Munich, Germany.
• Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  • Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
• Krishna Reddy Chittedi*, 2014. "Global financial crisis and contagion: evidence for the Ebrici economies," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(4), pages 243-264, October-D.
• Maldonado, Rogelio & Zapata, Natalia & Pantoja, Javier, 2014. "Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 19(37), pages 70-77.
• Marc S. Paolella, 2014. "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-32.
• Bi-Juan Chang & Jow-Ran Chang & Mao-Wei Hung, 2014. "Searching For Landmines In Equity Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-24.
• Kablau, Anke & Weiß, Matthias, 2014. "How is the low-interest-rate environment affecting the solvency of German life insurers?," Discussion Papers 27/2014e, Deutsche Bundesbank.
• Kablau, Anke & Weiß, Matthias, 2014. "Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?," Discussion Papers 27/2014, Deutsche Bundesbank.
• Lidan Grossmass, 2014. "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(III), pages 191-226, September.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
• Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
• Evangelos C. Charalambakis, 2014. "On corporate financial distress prediction: what can we learn from private firms in a small open economy?," Working Papers 188, Bank of Greece.
• Brigida, Matthew, 2014. "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, vol. 43(C), pages 48-55.
• Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios, 2014. "Forecasting energy markets using support vector machines," Energy Economics, Elsevier, vol. 44(C), pages 135-142.
• Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
• Elie Bouri & Georges Azzi, 2014. "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 279-304, December.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
• Nikolay A. Andreev, 2014. "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers WP BRP 38/FE/2014, National Research University Higher School of Economics.
• Valeria V. Lakshina, 2014. "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers WP BRP 37/FE/2014, National Research University Higher School of Economics.
• Vogt, Erik, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York, revised 01 Jan 2016.
• Başçi, Eşref Savaş & Sakinç, Öznur, 2014. "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 3-6.
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• Sinchugova, Regina, 2014. "Акции С Наибольшей Доходностью
  [Stocks with highest yield]," MPRA Paper 60902, University Library of Munich, Germany.
• Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 36(4), pages 61-78.
• Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici, 2014. "Modeling Risk Convergence for European Financial Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 2(3), pages 3-12, September.
• Esref Savas BASCI & Fatih MEMIS, 2014. "A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 26-31, December.
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• Demiralay, Sercan & Ulusoy, Veysel, 2014. "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 183-202.
• Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
• Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
• Tsai, Hui-Ju & Wu, Yangru, 2014. "Optimal portfolio choice for investors with industry-specific labor income risks," Finance Research Letters, Elsevier, vol. 11(4), pages 429-436.
• Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
  • Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
• Dias, Alexandra, 2014. "Semiparametric estimation of multi-asset portfolio tail risk," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 398-408.
• Egan, Daniel & Merkle, Christoph & Weber, Martin, 2014. "Second-order beliefs and the individual investor," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 652-666.
• Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014. "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 44-61.
  • Narayan, Paresh Kumar & Ali Ahmed, Huson & Sharma, Susan Sunila & Prabheesh, K. P., 2014. "How profitable is the Indian stock market?," Working Papers fe_2014_14, Deakin University, Department of Economics.
• Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
• Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
• LUPU, Radu & CALIN, Adrian Cantemir, 2014. "A Mixed Frequency Analysis Of Connections Between Macroeconomic Variables And Stock Markets In Central And Eastern Europe," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(2), pages 69-79.
• Radu Lupu, 2014. "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 49-64, December.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  • Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014. "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 163-176, December.
• Pawel Antonowicz, 2014. "The analysis of ranges of variability of selected ratios from a group of assets productivity ratios three years before the declaration of bankruptcy by companies in Poland," Business and Economic Horizons (BEH), Prague Development Center, vol. 10(3), pages 202-213, October.
• Sebastian Majewski, 2014. "Modelling of football companies' rates of return according to sport results and bookmakers' expectations on the example of serie A," Business and Economic Horizons (BEH), Prague Development Center, vol. 10(3), pages 214-222, October.
• Cecilia Maya Ochoa & Julián Pareja Vasseur, 2014. "Valoración de opciones reales a través de equivalentes de certeza," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT, December.
• Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
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• Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  • M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
  • Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
• Alizadeh, Amir H. & Muradoglu, Gulnur, 2014. "Stock market efficiency and international shipping-market information," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 445-461.
• Nils Wittmann & Eppinger Marcus, 2014. "Market Inefficiencies and Forecastability of Spot Rates in the Shipping Sector," Proceedings of International Academic Conferences 0900012, International Institute of Social and Economic Sciences.
• Maxime Bonelli & Daniel Mantilla-Garcia, 2014. "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences 0802327, International Institute of Social and Economic Sciences.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  • Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
• Mehri, Meryem, 2014. "Frais, performance et risque des fonds d'investissement islamiques et conventionnels : une approche théorique et empirique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14813 edited by Jouini, Elyès.
• Harri Pönkä, 2017. "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
  • Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-19, March.
  • Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
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• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  • Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
• Przemyslaw Krzysztof Juszczuk, 2014. "Impact of the Fundamental Analysis on the Financial Decision Support Systems Efficiency," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 45(2), pages 147-159.
• Dorota Ewa Grochowina, 2014. "The Influence of Data Imputation Methods on the Classification Efficiency of the Logit Model Used for Forecasting the Bankruptcy of Companies," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 45(2), pages 187-203.
• Alex Granate, 2014. "Directions of the State Effect on the Development of Communication Systems of the Agrarian Sector Enterprises," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 572-579.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
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• Andrey KUDRYAVTSEV & Shosh SHAHRABANI & Aviad DIDI & Eyal GESUNDHEIT, 2014. "Differential Effects Of Target Price Releases On Stock Prices: Psychological Aspects," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(2), pages 153-166, December.
• Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  • David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
• Koliai, Lyes, 2014. "Stress testing and financial risks," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15231 edited by Avouyi-Dovi, Sanvi.
• Rendón De la Torre, Stephanie, 2014. "Aplicación de análisis multifractal de exponentes de Hölder en mercados financieros mexicanos : índice accionario IPC y tipo de cambio USD/MXN / A Multifractal Analysis Application of Hölder Exponents," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(2), pages 191-208, julio-dic.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
• Mark Hallam & Jose Olmo, 2014. "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(2), pages 408-432.
• Marina Pando & Melissa Villanueva, 2014. "¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD," Chapters of Books,in: Francisco B. Galarza (ed.), Economía aplicada: Ensayos de investigación económica 2013, edition 1, volume 1, chapter 10, pages 267-298 Fondo Editorial, Universidad del Pacífico.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  • Taamouti, Abderrahim & Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  • Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
• Vincent Lacoste & Pierre Six, 2014. "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 24-40, May-June.
• Guillaume Vuillemey, 2014. "Solvency vs. liquidity. A decomposition of European banks' credit risk over the business cycle," International Economics, CEPII research center, issue 137, pages 32-51.
• Joocheol Kim & Eunhwan Kim, 2014. "An Empirical Analysis on Credit Risk Models and its Application," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(4), pages 14-27, August.
• Ömer Akgöbek & Emre Yakut, 2014. "Efficiency measurement in Turkish manufacturing sector using Data Envelopment Analysis (DEA) and Artificial Neural Networks (ANN)," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(3), pages 35-45, June.
• A. Malliaris & Mary Malliaris, 2014. "N-tuple S&P patterns across decades, 1950–2011," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 339-353, June.
• Congressional Budget Office, 2014. "Budgetary Estimates for the Single-Family Mortgage Guarantee Program of the Federal Housing Administration," Reports 45740, Congressional Budget Office.
• Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
  • Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
• Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
  • Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio management of mixed-species forests," Working Papers - Cahiers du LEF 2014-09, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Aug 2014.
  • Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014. "Portfolio Management of Mixed-Species Forests," Post-Print hal-01628375, HAL.
• Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
  • Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
• Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-325, Department of Research, Ipag Business School.
  • Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
• Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
• Lee, Hee Soo & Kim, Tae Yoon, 2014. "Dynamic prediction of hedge fund survival in crisis-prone financial markets," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 57-67.
• Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
  • Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
• Ciumas Cristina & Chis Diana-Maria, 2014. "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 864-873, July.
• Cociuba Mihail Ioan & Zapodeanu Daniela & Kulcsar Edina, 2014. "Backtesting Value At Risk Models In The Presence Of Structural Break On The Romanian And Hungarian Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 802-812, July.
• Maris Angela & Andone Diana & Csegedi Sandor & Gaban Lucian, 2014. "Aggregate Rating Model In The Tourism Industry," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 959-965, July.
• Batrancea Ioan & Andone Diana & Csegedi sandor & Gaban Lucian, 2014. "Modalities Of Financial Structure Analysis In Romanian Entities In The Post Crisis Era," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 813-819, July.
• Başçi, Eşref Savaş & Memiş, Fatih, 2014. "A Comparion of the Performances of Type A Mutual Funds Before and After 2008 Global Economic Crisis in Turkey," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 3-8.
  • Esref Savas BASCI & Fatih MEMIS, 2014. "A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 26-31, December.
• Erginbay UGURLU, 2014. "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 302-310, December.
• Droj Laurentiu, 2014. "Financial Indicators For The Romanian Companies Between Eligibility And Bankability Of Eu Financed Projects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 332-341, December.
• Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study South Africa & U.S. -," MPRA Paper 68684, University Library of Munich, Germany.
• Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study Germany & U.S -," MPRA Paper 68686, University Library of Munich, Germany.
• Magdalena Mosionek-Schweda, 2014. "The Use Of Discriminant Analysis To Predict The Bankruptcy Of Companies Listed On The Newconnect Market," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 9(3), pages 87-105, September.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW).
• Mei CAI & Zhonglin HUANG, 2014. "Analysis Of Non Performing Loan And Capital Adequacy Ratio Among Chinese Banks In The Postreform Period In China," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(2), pages 133-144, December.
• Andrey KUDRYAVTSEV & Shosh SHAHRABANI & Aviad DIDI & Eyal GESUNDHEIT, 2014. "Differential Effects Of Target Price Releases On Stock Prices: Psychological Aspects," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(2), pages 155-166, December.
• Slavko Vukic & Danijel Knezevic, 2014. "The Impact Of Demographic Changes On The Pension System Financing Sustainability In The Federation Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 12(1), pages 43-54.
• Jorge A. Restrepo M & Santiago Medina H, 2014. "Operational Risk Estimation Uncertainty On Environment: A Case Study, Estimacion Del Riesgo Operativo Bajo Ambiente De Incertidumbre: Estudio De Caso," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 39-54.
• Eduardo Sandoval & Paula Urrutia, 2014. "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 25-40.
• Saty Patrabansh & William M. Doerner & Samuel Asin, 2014. "The Effects of Monetary Policy on Mortgage Rates," FHFA Staff Working Papers 14-02, Federal Housing Finance Agency.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
  • Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Businesss School, revised Jul 2016.
  • Gargano, Antonio & Pettenuzzo, Davide & Timmermann, Allan G, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
• Glener de Almeida Dourado & Benjamin Miranda Tabak, 2014. "Testing the Adaptive Markets Hypothesis for Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 517-553.
• Marco Aurélio dos Santos Sanfins & Danilo Soares Monte-Mor, 2014. "RiD: A New Approach to Estimate the Insolvency Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(2), pages 229-255.
• Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
  • Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão 624, Department of Economics PUC-Rio (Brazil).
• Cottarelli, Carlo & Gerson, Philip & Senhadji, Abdelhak (ed.), 2014. "Post-crisis Fiscal Policy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262027186, January.
• Lect. Mirela Elena Nichita Ph. D, 2014. "Financial Reporting In Romania And Changes In Management Structure," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(22), pages 85-91, APRIL.
• A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  • Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014. "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
  [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper 76629, University Library of Munich, Germany, revised 2014.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
  • Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
• Islam , Raisul, 2014. "A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 187-212, June.
• Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
  • Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão 624, Department of Economics PUC-Rio (Brazil).
• Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
  • Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
  • Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
• Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
  • Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2014. "Savings Determinants of Moroccan banks: A cointegration modeling approach," MPRA Paper 76371, University Library of Munich, Germany.

2013

• Stavros Degiannakis & Alexandra Livada, 2016. "Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 871-892, April.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper 67968, University Library of Munich, Germany.
• Emil Kalchev, 2013. "Problems and perspectives of fiscal sector in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 35-51,52-67.
• Michael Hanias & Lykourgos Magafas & P. Konstantaki, 2013. "Non Linear Analysis Of S&P Index," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 8(4), pages 125-135, December.
• Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW).
• Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Fariba Karimi & Matthias Raddant, 2016. "Cascades in Real Interbank Markets," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 49-66, January.
  • Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
  • Karimi, Fariba & Raddant, Matthias, 2013. "Cascades in real interbank markets," Kiel Working Papers 1872, Kiel Institute for the World Economy (IfW).
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
  • Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
• Markus Haavio & Caterina Mendicino & Maria Teresa Punzi, 2014. "Financial and economic downturns in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 21(6), pages 407-412, April.
  • Haavio, Markus & Mendicino, Caterina & Punzi, Maria Teresa, 2013. "Financial and economic downturns in OECD countries," Research Discussion Papers 35/2013, Bank of Finland.
• João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
• Alex Sandro Monteiro de Moraes & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle, 2013. "Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(4), pages 455-479.
• Yuri Biondi & Simone Righi, 2016. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 175-203, October.
  • Yuri Biondi & Simone Righi, 2013. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers 1312.7460, arXiv.org.
• FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013. "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper 77322, University Library of Munich, Germany.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  • Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
• Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  • Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper 80445, University Library of Munich, Germany.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
• Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  • Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper 80445, University Library of Munich, Germany.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier.
  • Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo Group Munich.
• Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
• Ai Deng, 2014. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150.
  • Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150, December.
• Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
• Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
  • Fantazzini, Dean & Geraskin, Petr, 2011. "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper 47869, University Library of Munich, Germany.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.
• Shih-Cheng Lee & Chien-Ting Lin & Min-Teh Yu, 2013. "A fractional cointegration approach to testing the Ohlson accounting based valuation model," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 535-547, October.
• Christopher Edmonds & Ryan Leece & John Maher, 2013. "CEO bonus compensation: the effects of missing analysts’ revenue forecasts," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 149-170, July.
• Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 171-188, January.
• Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
• Michael Lacina & Byung Ro, 2013. "Market implied future earnings and analysts’ forecasts," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 295-341, August.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
• Cristina, GRADEA, 2013. "Alternative Models Of Financing Regional Development," Management Strategies Journal, Constantin Brancoveanu University, vol. 22(Special), pages 132-139.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Sinha, Mukesh Kumar & Dhaka, J. P. & Mondal, B., 2013. "Analysing social attributes of loan default among small Indian Dairy farms: A discriminating approach," MPRA Paper 53362, University Library of Munich, Germany, revised 20 Jan 2014.
• Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  • Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Breitung, Jörg & Schmeling, Maik, 2013. "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
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• Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
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• Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  • Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
  • Gary Koop & Lise Tole, 2011. "Forecasting the European Carbon Market," Working Papers 1110, University of Strathclyde Business School, Department of Economics.
• Stefano Schiaffi, 2013. "The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data," Rivista di Politica Economica, SIPI Spa, issue 4, pages 141-169, October-D.
• Monica Giulietti & Luigi Grossi, 2013. "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers 2013/37, Institut d'Economia de Barcelona (IEB).
• Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
• Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 45(2), pages 665-673, October.
• Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
• Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 253-273, April.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
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• Jarraya, Bilel & Bouri, Abdelfettah, 2013. "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper 53697, University Library of Munich, Germany, revised 2013.
• Bilel JARRAYA, 2013. "Asset Allocation And Portfolio Optimization Problems With Metaheuristics: A Literature Survey," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 3(4), pages 38-56, December.
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• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Feb 2016.
• Weigert, Florian, 2013. "Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance, revised Nov 2015.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
• Mariana Rodica TIRLEA, 2013. "Financial Analysis, Budgeting, Decision and Control," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 47-52.
• Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
• Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
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  • Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
  • Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
• Luca GRILLI & Angelo SFRECOLA, 2013. "Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(1), pages 44-51, April.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, Open Access Journal, vol. 2(3), pages 1-17, July.
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• Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013. "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper 54185, University Library of Munich, Germany, revised 15 Jul 2013.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
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• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
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  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
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• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
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  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Agnieszka Kapecka, 2013. "Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 107-126.
• Víctor Manuel Molina Morejón & Lourdes J. García Hernández & Valeria Viridiana Salas Jaramillo, 2013. "Modelo de negocios de las Pyme: Un análisis de sus manejos financieros," Ravista Raites antes Panorama Administrativo Journal, Red de Investigación en Administración de la Innovación Tecnológica, Económica y Sustentable - Instituto Tecnológico de Celaya, Departamento de Ciencias Económico Administrativas, vol. 7(13), pages 69-82, Agosto-Di.
• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  • Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Hui Jun Zhang & Jean-Marie Dufour & John Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
• Antoniade Ciprian ALEXANDRU, 2013. "Studying The Volatility Of The Romanian Investment Funds With The Arch And Garch Models Using The "R" Software," Working papers 03, Ecological University of Bucharest, Department of Economics.
• Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
• Haim Kedar-Levy, 2013. "A Robust Valuation Model for Entrepreneurial Ventures," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 16(2), pages 57-74, Spring.
• Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," BORRADORES DE ECONOMIA 010502, BANCO DE LA REPÚBLICA.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 762, Banco de la Republica de Colombia.
  • Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," BORRADORES DE ECONOMIA 010695, BANCO DE LA REPÚBLICA.
• Juan Amador & José Gómez-González & Andrés Pabón, 2013. "Loan growth and bank risk: new evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 365-379, December.
  • Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia 763, Banco de la Republica de Colombia.
  • Juan Sebastián Amador Torres & José Eduardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks´ Risk: New Evidence," BORRADORES DE ECONOMIA 010710, BANCO DE LA REPÚBLICA.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," BORRADORES DE ECONOMIA 010695, BANCO DE LA REPÚBLICA.
  • Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia 762, Banco de la Republica de Colombia.
• Juan Amador & José Gómez-González & Andrés Pabón, 2013. "Loan growth and bank risk: new evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 365-379, December.
  • Juan Sebastián Amador Torres & José Eduardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks´ Risk: New Evidence," BORRADORES DE ECONOMIA 010710, BANCO DE LA REPÚBLICA.
  • Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia 763, Banco de la Republica de Colombia.
• Santiago Medina Hurtado & Jorge Aníbal Restrepo Morales, 2013. "Estimación de la utilidad en riesgo de una empresa de transmisión de energía eléctrica considerando variables económicas," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, May.
• Liu, Xiaochun, 2013. "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper 55801, University Library of Munich, Germany.
• Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton, 2013. "We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS," Larefi Working Papers 1304, Larefi, Université Bordeaux 4.
• Jáki, Erika, 2013. "A válság mint negatív információ és bizonytalansági tényező. A válság hatása az egy részvényre jutó nyereség-előrejelzésekre
  [The financial crisis as negative information and a factor of uncertaint," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1357-1369.
• Carlos Andrés Núñez Viveros & Gabriel José Gallego Hidalgo & Guillermo Buenaventura Vera, 2013. "Diseño metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios: caso de cogeneración de energía en una empresa en Cali," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, March.
• Arayssi, Mahmoud, 2013. "Price Drivers and Investment Strategies of Gold," MPRA Paper 56115, University Library of Munich, Germany.
• P. Barton DELACY & Eric M. ROSS, 2013. "Romania, the Next Frontier for Wind Power," The Valuation Journal, National Association of Romanian Valuers, vol. 8(1), pages 60-61.
• Brian J. CURRY, 2013. "The Trouble with Rates in the Subdivision Development Method to Land Valuation," The Valuation Journal, National Association of Romanian Valuers, vol. 8(2), pages 72-115.
• Nico Singer & Saskia Laser & Frank Dreher, 2013. "Published stock recommendations as investor sentiment in the near-term stock market," Empirical Economics, Springer, vol. 45(3), pages 1233-1249, December.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
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• Oscar De la Torre Torres., 2013. "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 39(2), pages 119-144, Julio-Dic.
• Rafael Cavalcanti de Araújo & Daniel Oliveira Cajueiro, 2013. "Combining term structure of interest rate forecasts: The Brazilian case," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(2), pages 102-121.
• Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013. "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper 57673, University Library of Munich, Germany.
• Frits Bos & Coen Teulings, 2013. "Short- and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): Science, witchcraft, or practical tool for policy?," OECD Journal on Budgeting, OECD Publishing, vol. 13(1), pages 45-56.
  • Bos, Frits & Teulings, Coen, 2013. "Short and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): science, witchcraft, or practical tool for policy?," MPRA Paper 57564, University Library of Munich, Germany.
• Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
• Plastun, Alex & Plastun, Vyacheslav, 2013. "Force-majeure events and financial market’s behavior," MPRA Paper 58975, University Library of Munich, Germany.
• Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 185-226.
  • Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  • Žikeš, Filip & Baruník, Jozef, 2014. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers 20, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2013. "Liquidity Determinants of Moroccan Banking Industry," MPRA Paper 59888, University Library of Munich, Germany.
• Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(06), pages 1813-1845, December.
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• Yvan Nezerwe, 2013. "Presidential Elections And Stock Returns In Egypt," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 4(2), pages 63-68.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  • Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
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  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers 782, Kyoto University, Institute of Economic Research.
• Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
• Bert de Bruijn & Philip Hans Franses, 2013. "Forecasting Earnings Forecasts," Tinbergen Institute Discussion Papers 13-121/III, Tinbergen Institute.
• Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
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• Dhaoui, Elwardi, 2013. "What we have learnt from financial econometrics modeling?," MPRA Paper 63843, University Library of Munich, Germany.
• De la Torre Torres, Oscar Valdemar, 2013. "Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán /Estimation of Alpha in Defined Benefit Pen," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 3(1), pages 39-72, enero-jun.
• Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo, 2013. "From IMU to TASI: an estimate for Tuscany," Miscellanea 473, Istituto Regionale per la Programmazione Economica della Toscana.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, Open Access Journal, vol. 2(3), pages 1-17, July.
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  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
• Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013. "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 87-98.
• Esref Savas BASCI & Süleyman Serdar KARACA, 2013. "The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 163-171.
• Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
• Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013. "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 719-738.
• Xu, Nianhang & Chan, Kam C. & Jiang, Xuanyu & Yi, Zhihong, 2013. "Do star analysts know more firm-specific information? Evidence from China," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 89-102.
• Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
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• Banu Simmons-Sueer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
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• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
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• Nolan, John P. & Ojeda-Revah, Diana, 2013. "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 186-194.
• Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
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  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80449, University Library of Munich, Germany.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
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• Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
• Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Lund University, Knut Wicksell Centre for Financial Studies.
• João Bastos, 2014. "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(2), pages 177-193, October.
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• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2013. "Assessing the profitability of intraday opening range breakout strategies," Finance Research Letters, Elsevier, vol. 10(1), pages 27-33.
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• Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
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• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
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• Joseph Gyourko & Joseph Tracy, 2013. "Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund," NBER Working Papers 18880, National Bureau of Economic Research, Inc.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
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• Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
• Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
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• Szymon Kamiński, 2013. "The pricing of options on WIG20 using GARCH models," Working Papers 2013-06, Faculty of Economic Sciences, University of Warsaw.
• Dorin Jula & Nicolae-Marius Jula, 2013. "Organic Farming And The Greenhouse Gas Emissions," Working papers 01, Ecological University of Bucharest, Department of Economics.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
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  • Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
  • Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
  • Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
• Mondher bellalah & SYED ALAMDAR ALI & Omar Masood, 2013. "Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan: A Variable Replacement Approach Application with Con-integration," THEMA Working Papers 2013-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
• Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
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• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
• Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
• Kumar, Dilip & Maheswaran, S., 2013. "Detecting sudden changes in volatility estimated from high, low and closing prices," Economic Modelling, Elsevier, vol. 31(C), pages 484-491.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
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• Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013. "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 115-122.
• Jokivuolle, Esa & Virén, Matti, 2013. "Cyclical default and recovery in stress testing loan losses," Journal of Financial Stability, Elsevier, vol. 9(1), pages 139-149.
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• Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
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• Ian Christensen & Fuchun Li, 2013. "A Semiparametric Early Warning Model of Financial Stress Events," Staff Working Papers 13-13, Bank of Canada.
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• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-12, June.
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• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
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• Peter Jurečka, 2013. "Strategy and Portfolio Management Aspects of Integrated Business Planning," Central European Business Review, University of Economics, Prague, vol. 2013(1), pages 28-34.
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• Eugen Nicolaescu, 2013. "The Statutory Audit and the Economic Governance Within the European Union," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(1), pages 15-19, March.
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• Henderson, Brian J. & Marks, Joseph M., 2013. "Predicting forecast errors through joint observation of earnings and revenue forecasts," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4265-4277.
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  • Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  • Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
• Alexander Porshnev & Ilya Redkin & Alexey Shevchenko, 2013. "Improving prediction of stock market indices by analyzing the psychological states of twitter users," HSE Working papers WP BRP 22/FE/2013, National Research University Higher School of Economics.
• Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," LSE Research Online Documents on Economics 54934, London School of Economics and Political Science, LSE Library.
  • Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
• Aleksandra Gasior, 2013. "Financial liquidity analysis of CSR based Capital Group Zywiec SA," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 15(Special 7), pages 784-801, November.
• Madalina - Gabriela Anghel & Liliana (Dinca) Paschia, 2013. "Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(15), pages 1-19.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, Open Access Journal, vol. 2(3), pages 1-17, July.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  • Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
  • Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
• Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
• Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
• Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
• Miller, Thomas W. & Rapach, David E., 2013. "An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 10-23.
• Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  • Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012. "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," ERIM Report Series Research in Management ERS-2012-018-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
• Bartholdy, Jan & Feng, Tiyi, 2013. "The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 66-88.
• Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
  • Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
• Kogan, Anton, 2013. "Финансовая Инновация - Миф Или Реальность?
  [Financial innovation - myth or reality?]," MPRA Paper 52739, University Library of Munich, Germany.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
  • Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Vilkovz, Grigory & Xiaox, Yan, 2013. "Option-implied information and predictability of extreme returns," SAFE Working Paper Series 5, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
• Droj Laurentiu, 2013. "Proposal Of A Common Scoring System For Selection Of Eu Funded Projects Developed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 372-381, December.
• Droj Laurentiu & Droj Gabriela, 2013. "Sensitivity Assessment Modelling In European Funded Projects Proposed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 361-371, December.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).

2012

• Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
• Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.
• Felicia Ramona Birău, 2012. "The Implications Of Liquidity Crises In The Context Of Emerging Capital Market," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(18), pages 189-193, April.
• Veli Akel & Fikriye Karacameydan, 2012. "Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks," Anadolu University Journal of Social Sciences, Anadolu University, vol. 12(2), pages 87-106, June.
• Erdinç ALTAY & Burcay YASAR AKCALI, 2012. "The Analysis Of The Relation Between Investor Risk Appetite And Stock Market Crises In Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(1), pages 45-79.
• Emrah Ismail ÇEVIK & Nuket Kirci ÇEVIK & Serhan GURKAN, 2012. "Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(1), pages 133-155.
• María J. Nieto, 2012. "What role, if any, can market discipline play in supporting macroprudential policy?," Occasional Papers 1202, Banco de España;Occasional Papers Homepage.
• Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
  • Dubecq, S. & Gourieroux, C., 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
• Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  • Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
• Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
• Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
  • Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2011. "A Network Model of Financial System Resilience," SFB 649 Discussion Papers SFB649DP2011-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
• Allen, D. & Lizieri, C. & Satchell, S., 2012. "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics 1244, Faculty of Economics, University of Cambridge.
• Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  • Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne, 2012. "To buy or not to buy? The value of contradictory analyst signals," Cologne Graduate School Working Paper Series 03-03, Cologne Graduate School in Management, Economics and Social Sciences.
• Krenar Avdulaj, 2012. "The Extreme Value Theory and Copulas as a Tool to Measure Market Risk," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).
• Daniel Kapp, 2012. "The optimal size of the European Stability Mechanism: A cost-benefit analysis," DNB Working Papers 349, Netherlands Central Bank, Research Department.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Governance Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Development Economics Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Microeconomics Working Papers 23296, East Asian Bureau of Economic Research.
• Amlan Roy, 2012. "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Finance Working Papers 23296, East Asian Bureau of Economic Research.
• Pierre Rostan & Alexandra Rostan, 2012. "Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall," International Review of Management and Marketing, Econjournals, vol. 2(1), pages 59-74.
• Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
  • Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper 15670, University Library of Munich, Germany.
• Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
• Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
• Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  • Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
• Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
• Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
• LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
  • Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Businesss School, revised Dec 2010.
• Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
• Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
• Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
• McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
• Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
• Johnston, Rick & Leone, Andrew J. & Ramnath, Sundaresh & Yang, Ya-wen, 2012. "14-Week quarters," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 271-289.
• LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
  • Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Businesss School.
• Smith, Geoffrey Peter, 2012. "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, vol. 9(2), pages 103-110.
• Dzielinski, Michal, 2012. "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, vol. 9(3), pages 167-175.
• Simonato, Jean-Guy, 2012. "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, vol. 9(4), pages 213-219.
• Fernández-Avilés, Gema & Montero, Jose-María & Orlov, Alexei G., 2012. "Spatial modeling of stock market comovements," Finance Research Letters, Elsevier, vol. 9(4), pages 202-212.
• Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012. "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, vol. 116(1), pages 72-74.
• Pierdzioch, Christian & Rülke, Jan-Christoph, 2012. "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, vol. 116(3), pages 326-329.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  • Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
• West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  • Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
• Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
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• Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
• Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
• Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello, 2012. "On the dependence structure of realized volatilities," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 1-9.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
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• Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
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• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
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  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
  • Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
• Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  • Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
  • Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
• Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
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• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  • José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84 Bank for International Settlements.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
  • Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.
• Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
• Lobo, Gerald J. & Song, Minsup & Stanford, Mary, 2012. "Accruals quality and analyst coverage," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 497-508.
• Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2974-2987.
• Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
• Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
• Pincheira, Pablo & García, Álvaro, 2012. "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(313), pages 85-123, enero-mar.
• Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
• Erik Lindström & Fredric Regland, 2012. "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 180-196, May.
• Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
• Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2013. "Assessing the profitability of intraday opening range breakout strategies," Finance Research Letters, Elsevier, vol. 10(1), pages 27-33.
  • Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.
• Lönnbark, Carl, 2012. "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies 848, Umeå University, Department of Economics.
• Ralf Sabiwalsky, 2012. "Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?," SFB 649 Discussion Papers SFB649DP2012-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015. "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
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• Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
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• Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
  • Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Matthias Ritter, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers SFB649DP2012-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  • Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
• Rodrigo Alfaro & Natalia Gallardo, 2012. "The Determinants of Household Debt Default," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 27(1), pages 55-70, April.
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization and Monetary Policy Institute Working Paper 106, Federal Reserve Bank of Dallas.
  • Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?," IMES Discussion Paper Series 12-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
• Thomas Theobald, 2015. "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing, vol. 42(5), pages 780-820, October.
  • Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
• Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012. "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-010, Indira Gandhi Institute of Development Research, Mumbai, India.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
• Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694449, HAL.
  • Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne 12025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
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• Christian Brown & Fred Abraham, 2012. "Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight (formerly the Journal of Economics (MVEA)), Missouri Valley Economic Association, vol. 38(1), pages 59-72.
• Jakub Muck & Pawel Skrzypczynski, 2012. "Can we beat the random walk in forecasting CEE exchange rates?," NBP Working Papers 127, Narodowy Bank Polski, Economic Research Department.
• Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
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• West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  • Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
• Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  • Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  • Charles Engel & Nelson C. Mark & Kenneth D. West, 2012. "Factor Model Forecasts of Exchange Rates," NBER Working Papers 18382, National Bureau of Economic Research, Inc.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
• Din Alina-Valentina & Diaconu Mihaela, 2012. "Opportunities for Using Alternative Energy Resources and Models for Estimating the Fair Value of a Green Energy System," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 324-329, May.
• Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 37(103), pages 13-28, Abril.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Milan Šimáček, 2012. "Indexy finančního stresu pro Českou republiku a Maďarsko
  [Financial Stress Indexes for the Czech Republic and Hungary]," Politická ekonomie, University of Economics, Prague, vol. 2012(5), pages 614-634.
• Petra Buzková & Petr Teplý, 2012. "Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model," Prague Economic Papers, University of Economics, Prague, vol. 2012(1), pages 30-49.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(1), pages 23-44, March.
  • De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
• Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
• Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
• Alexandru Constantinescu, 2012. "The business cycles and the influence of economic confidence indicators in the European region," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 201-224, June.
• Piotr Szymański, 2012. "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 153-178, June.
• Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 335-369, March.
  • Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  • Xin Jin & John M. Maheu, 2012. "Modelling Realized Covariances and Returns," Working Paper series 49_12, Rimini Centre for Economic Analysis.
  • Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
• Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis, 2012. "Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate," DUTH Research Papers in Economics 5-2012, Democritus University of Thrace, Department of Economics.
• Ciciretti, Rocco & Corvino, Raffaele, 2012. "How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk," Journal of Financial Transformation, Capco Institute, vol. 34, pages 195-210.
  • Rocco Ciciretti & Raffaele Corvino, 2011. "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper 204, Tor Vergata University, CEIS, revised 04 Jul 2011.
• Gomes, Luís & Soares, Vasco, 2012. "Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional," Working Papers 23/2012, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
• Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 28(4), pages 35-62.
• Frolova, Elvina & Fantazzini, Dean, 2012. "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 3-24.
• Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 95-114.
• Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
• V. I. Tinyakova, 2012. "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 247-255, Decembre.
• Georgeta VINTILA & Georgia Maria TOROAPA, 2012. "Forecasting the Bankruptcy Risk on the Example of Romanian Enterprises," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 377-388, May.
• Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Gheorghe LEPADATU, 2012. "Models for Evaluating the Company on FCFE and FCFF basis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 80-86, November.
• Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Georgeta BARDASU, 2012. "CAPM Evaluating Relation," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 147-154, November.
• Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro, 2013. "Corporate social responsibility and earnings forecasting unbiasedness," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3654-3668.
  • Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012. "Corporate Social Responsibility and Earnings Forecasting Unbiasedness," CEIS Research Paper 233, Tor Vergata University, CEIS, revised 08 Feb 2013.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
• Malgorzata Sulimierska, 2012. "After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?," Working Paper Series 5112, Department of Economics, University of Sussex.
• Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2012-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Feb 2012.
• Süleyman Serdar KARACA & Arif SAVSAR, 2012. "The Effect Of Financial Ratios On The Firm Value: Evidence From Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(1(19)/ Sp), pages 56-63.
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  • Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  • Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
• Piotr Arendarski, 2012. "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers 2012-01, Faculty of Economic Sciences, University of Warsaw.
• Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
• Diana DEZSI & Emil SCARLAT, 2012. "A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 5(17), pages 23-32.
• Marianna BOTIKA, 2012. "Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 5(17), pages 96-118.
• Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
• Gribisch, Bastian, 2012. "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers 2012-14, Christian-Albrechts-University of Kiel, Department of Economics.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
• Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
  • Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Forecasting metal prices: Do forecasters herd?," Discussion Papers 325, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
  • Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
• Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.
• Matthew C. Chang & Jui-Cheng Hung, 2012. "Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 147-162, December.
• Mirela GHEORGHE, 2012. "Techniques and Simulation Models in Risk Management," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 354-362, December.
• Steven Lim, 2012. "Estimating the Final Size of an Online User Base," Working Papers in Economics 12/15, University of Waikato.
• Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
• Mihaela IONASCU, 2012. "Fair Value Measurements and Earnings Forecasts Accuracy: Evidence for Romanian Listed Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 11(4), pages 532-544, December.
• Gholamreza ZANDI & Alireza SHAHABI, 2012. "The Impact of Direct Benefits of Control on the Price Informative Value of Voluntary Information Disclosure: An Empirical Study of the Iranian Public Listed Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 11(4), pages 564-586, December.
• Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
• Droj Laurentiu & Droj Gabriela, 2012. "Usage Of Acb-Minind Software In The Cba Analysis For Financing Investment Projects Through European Funding In Correlation With The Financing From The Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 551-556, December.
• Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012. "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 635-640, December.
• Dumitru Ciobanu, 2012. "Predicting The Exchange Rate Eur-Leu With Svm," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(40), pages 151-158.
• Hausenblas, Václav & Kubicová, Ivana & Lešanovská, Jitka, 2015. "Contagion risk in the Czech financial system: A network analysis and simulation approach," Economic Systems, Elsevier, vol. 39(1), pages 156-180.
  • Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska, 2012. "Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach," Working Papers 2012/14, Czech National Bank, Research Department.
• Adrian Lupaºc & Ioana Lupaºc & Cristina Gabriela Zamfir, 2012. "Impact of Intelligent Modern Technologies in Business," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 580-585, May.
• Lúcio Godeiro, Lucas, 2012. "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
  [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carl," MPRA Paper 45146, University Library of Munich, Germany.
• Diamondopoulos, John, 2012. "To what extent are financial crises comparable and thus predictable?," MPRA Paper 45668, University Library of Munich, Germany.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2012. "Incentive-Compatible Sukuk Musharakah for Private Sector Funding," MPRA Paper 46009, University Library of Munich, Germany.
• Süleyman Serdar KARACA & Hatice Neriman BAÅžDEMÄ°R, 2012. "The Applicability Of Artificial Neural Network Method Upon Prediction Of Rate Of Stock Return: Example Of 2008 Financial Crisis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(2(20)/ Su), pages 131-139.
• Cho JOONG-SEOK, 2012. "The Effect Of Accruals On Security Analysts’ Target Price Forecast Performance," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 228-234.
• Abounoori, Abbas Ali & Mohammadali, Hanieh & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "Comparative study of static and dynamic neural network models for nonlinear time series forecasting," MPRA Paper 46466, University Library of Munich, Germany.
• Gao, Siwei & Powers, Michael R. & Chapman, Zaneta A., 2012. "A risk-based risk finance paradigm," Journal of Financial Transformation, Capco Institute, vol. 35, pages 173-178.
• Nikolaus Hautsch & Ruihong Huang, 2012. "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements," SFB 649 Discussion Papers SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series 2012/04, Center for Financial Studies (CFS).
• Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012. "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
  [Opposite strategy and liquidity effect: an econometric analysis]," MPRA Paper 48104, University Library of Munich, Germany.
• Muntean, Mihaela & Muntean, Cornelia, 2012. "Evaluating A Business Intelligence Solution. Feasibility Analysis Based On Monte Carlo Method," MPRA Paper 48478, University Library of Munich, Germany, revised 28 May 2013.
• Alessandro Cardinali, 2012. "An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors," International Econometric Review (IER), Econometric Research Association, vol. 4(1), pages 1-16, April.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
• Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
• Bławat, Bogusław, 2012. "High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination," MPRA Paper 49120, University Library of Munich, Germany.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  • Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  • Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
• Singer, Nico & Dreher, Frank & Laser, Saskia, 2012. "Published stock recommendations as institutional investor sentiment in the near-term stock market," Thuenen-Series of Applied Economic Theory 121, University of Rostock, Institute of Economics.
• Logica Banica & Daniela Pirvu & Alina Hagiu, 2012. "Intelligent Financial Forecasting, The key for a Successful Management," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pages 192-206, July.
• ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012. "Are extreme returns priced in the stock market? European evidence," Working Papers 2012018, University of Antwerp, Faculty of Applied Economics.
• Dãnãnãu Cristian-Florin & Alexandru Ciprian-Antoniade, 2012. "Credit Market as a “Mirror” of the Economic System: A Disequilibrium Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(3), pages 1-64, Decembre.
• Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012. "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers 0001, Moscow State University, Faculty of Economics.
• Syeda Rabab Mudakkar & Jamshed Y. Uppal, 2012. "Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 51(4), pages 399-417.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  • Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012. "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," ERIM Report Series Research in Management ERS-2012-018-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
  • Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1482-1490.
  • Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers 723, Kyoto University, Institute of Economic Research.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer, 2009. "The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  • McAleer, M.J., 2008. "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1003-1036, October.
  • Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
  • Takamizawa, Hideyuki, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(1), March.
  • André Ventura & Marcio Gomes Pinto Garcia, 2009. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão 563, Department of Economics PUC-Rio (Brazil).
• Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez, 2012. "Indicator Of Financial Health Proposal And Its Impact On Probability Of Default, Propuesta De Un Indicador De Salud Financiera Y Su Efecto En La Prediccion Del Fracaso Empresarial," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 5(3), pages 19-40.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  • Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  • Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print halshs-01279906, HAL.
  • Mohamed AROURI & Amine LAHIANI & D.-K. NGUYEN, 2010. "Forecasting the Conditional Volatility of Oil Spot andFutures Prices with Structural Breaksand Long Memory Models," LEO Working Papers / DR LEO 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  • Mohamed El Hedi Arouri & Duc Khuong Nguyen & Amine Lahiani, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers hal-00507831, HAL.
• Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland, Institute for Economies in Transition.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01380666, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
• Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01380666, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01380666, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
• Rebel Cole & Lawrence White, 2012. "Déjà Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 5-29, October.
  • Rebel A. Cole & Lawrence J. White, 2010. "Deja Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around," Working Papers 10-15, New York University, Leonard N. Stern School of Business, Department of Economics.
  • Cole, Rebel A. & White, Lawrence J., 2010. "Déjà vu all over again: The causes of U.S. commercial bank failures this time around," MPRA Paper 24690, University Library of Munich, Germany, revised 28 Jul 2010.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics 13/08, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
• Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 581-590.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01380666, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print hal-01386006, HAL.
  • Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820714, HAL.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Dumitru Ciobanu, 2012. "The Horizon of Prediction for Exchange Rate Eur-Leu," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(2), pages 85-92.
• Hammoudeh, Shawkat & McAleer, Michael, 2013. "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
  • Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
• Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
• Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
  • Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
• Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
• Phillip Simmons, 2012. "Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 377-385, December.
• Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
• Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, vol. 45(3), pages 135-155, August.
• Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012. "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 405-428, December.
• Alexander Kerl & Oscar Stolper & Andreas Walter, 2012. "Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 217-246, June.
• Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
• Beixin Lin & Rong Yang, 2012. "Does Regulation Fair Disclosure affect analysts’ forecast performance? The case of restructuring firms," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 495-517, May.
• Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
  • Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  • Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
• Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  • Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
• Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  • Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?," IMES Discussion Paper Series 12-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
  • Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization and Monetary Policy Institute Working Paper 106, Federal Reserve Bank of Dallas.
• Silvia Centanni & Marco Minozzo, 2012. "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-22.
  • Silvia Centanni & Marco Minozzo, 2010. "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers 22/2010, University of Verona, Department of Economics.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
  • Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  • Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," CIRJE F-Series CIRJE-F-689, CIRJE, Faculty of Economics, University of Tokyo.
  • Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
• Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
  • Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
  • Carmona, Julio & León, Angel & Vaello-Sebastiá, Antoni, 2011. "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers 11-2, University of Alicante, D. Quantitative Methods and Economic Theory, revised 16 Jan 2012.
• Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
  • Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
• Dubecq, S. & Gourieroux, C., 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.
  • Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
• Schmitz, Jochen & Ledebur, Oliver von, 2012. "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 123971, International Association of Agricultural Economists.
• Florence Guillaume & Wim Schoutens, 2012. "Calibration risk: Illustrating the impact of calibration risk under the Heston model," Review of Derivatives Research, Springer, vol. 15(1), pages 57-79, April.
• Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
• Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
• Andrey KUDRYAVTSEV, 2012. "Under-Reaction Of S&P 500 Implied Volatility To Relevant Information," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(4), pages 401-409, December.
• Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "Prognosen von Metallpreisen: Asymmetrische Verlustfunktionen und Rationalität," Credit and Capital Markets, Credit and Capital Markets, vol. 45(3), pages 407-440.
• Marcus Wolter & Daniel Rösch, 2012. "Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen," Credit and Capital Markets, Credit and Capital Markets, vol. 45(2), pages 189-217.
• Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
• Daiver Cardona Salgado, 2012. "Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, August.
• Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
  • Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," BORRADORES DE ECONOMIA 009441, BANCO DE LA REPÚBLICA.
• Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, Junio.
  • Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 31(71), pages 1-35, June.
  • Luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 704, Banco de la Republica de Colombia.
  • luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," BORRADORES DE ECONOMIA 009450, BANCO DE LA REPÚBLICA.
• Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 705, Banco de la Republica de Colombia.
  • Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," BORRADORES DE ECONOMIA 009511, BANCO DE LA REPÚBLICA.
• Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," DOCUMENTOS DE TRABAJO CIEF 010631, UNIVERSIDAD EAFIT.
• Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, Junio.
  • Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 31(71), pages 1-35, June.
  • luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," BORRADORES DE ECONOMIA 009450, BANCO DE LA REPÚBLICA.
  • Luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 704, Banco de la Republica de Colombia.
• Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," BORRADORES DE ECONOMIA 009511, BANCO DE LA REPÚBLICA.
  • Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 705, Banco de la Republica de Colombia.
• Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," BORRADORES DE ECONOMIA 009441, BANCO DE LA REPÚBLICA.
  • Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
• Rattana Charussaengsuriya & Tawewan Tharnpipat, 2012. "Technical analysis of stock prices using Elliot wave theory and Fibonacci number," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(1), pages 91-102, March.
• Mohamed Z. M. Aazim & N. S. Cooray, 2012. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , vol. 1(1), pages 25-56, June.
• Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne 12025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694449, HAL.
• Kriszt, Katalin & Zakár, Tivadar, 2012. "A Vállalatok Pénzügyi Típusjelenségeinek Többváltozós Analízise," Acta Carolus Robertus, Karoly Robert University College, vol. 2(1).
• Carol Alexander & Daniel Ledermann, 2012. "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance icma-dp2012-09, Henley Business School, Reading University.
• Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, Reading University.
• Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  • Seong-Min Yoon & Sang Hoon Kang, 2012. "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012 3944, EcoMod.
• Piotr Szymański, 2012. "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 137-162, June.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  • Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
• Buła, Rafał, 2012. "Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali
  [Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals ," MPRA Paper 59710, University Library of Munich, Germany.
• Buła, Rafał, 2012. "Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
  [Methodical aspects of estimating fractal dimension of financial time series]," MPRA Paper 59711, University Library of Munich, Germany.
• Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  • Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
• Chia Chiang Tan, 2012. "Market Practice in Financial Modelling," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8257.
• William T Ziemba, 2012. "Calendar Anomalies and Arbitrage," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8467.
• Peng He, 2012. "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(5), pages 65-72.
• Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 25-34.
• Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen, 2012. "Why Do Banks Default When Asset Quality Is High?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 83-96.
• Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 75-81.
• Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
  • Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
• Bert de Bruijn & Philip Hans Franses, 2012. "What drives the Quotes of Earnings Forecasters?," Tinbergen Institute Discussion Papers 12-067/4, Tinbergen Institute.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  • Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  • Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

2011

• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
• Ishida, I. & McAleer, M.J. & Oya, K., 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers EI 2011-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • 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," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 784, Kyoto University, Institute of Economic Research.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  • José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84 Bank for International Settlements.
• Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
• Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
• Vivek Sharma, 2011. "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 283-299, October.
• Huong Higgins, 2011. "Forecasting stock price with the residual income model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 583-604, May.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357-388.
  • Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters,in: NBER International Seminar on Macroeconomics 2010, pages 357-387 National Bureau of Economic Research, Inc.
  • Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
• Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
  • Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 15, Development and Policies Research Center (DEPOCEN), Vietnam.
• Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  • Gary Koop & Lise Tole, 2011. "Forecasting the European Carbon Market," Working Papers 1110, University of Strathclyde Business School, Department of Economics.
  • Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
  • Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
  • Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
  • Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
• Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1048-1067, September.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  • Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
• Carlo A. Favero & Andrea Tamoni, 2011. "Demographics and US Stock Market Fluctuations ," CESifo Economic Studies, CESifo, vol. 57(1), pages 25-43, March.
• Tripathy NALINIPRAVA, 2011. "Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 62-75, June.
• Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1482-1490.
  • Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics 10/38, University of Canterbury, Department of Economics and Finance.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
  • Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers 723, Kyoto University, Institute of Economic Research.
  • Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
• Cetin-Behzet Cengiz & Rüdiger von Nitzsch, 2011. "Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen," Credit and Capital Markets, Credit and Capital Markets, vol. 44(3), pages 419-458.
• Tatom, John, 2011. "Predicting failure in the commercial banking industry," MPRA Paper 34608, University Library of Munich, Germany.
  • John A. Tatom & Reza Houston, 2011. "Predicting Failure in the Commercial Banking Industry," NFI Working Papers 2011-WP-27, Indiana State University, Scott College of Business, Networks Financial Institute.
• Semei Coronado Ramírez & Leonardo Gatica Arreola, 2011. "Identificación de episodios de dependencia no lineal en el peso mexicano," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
• Carlos Leóm & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 648, Banco de la Republica de Colombia.
  • Carlos León Rincón & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," BORRADORES DE ECONOMIA 008277, BANCO DE LA REPÚBLICA.
• García-Suaza, Andrés Felipe & Gómez-González, José E. & Pabón, Andrés Murcia & Tenjo-Galarza, Fernando, 2012. "The cyclical behavior of bank capital buffers in an emerging economy: Size does matter," Economic Modelling, Elsevier, vol. 29(5), pages 1612-1617.
  • Andrés Felipe García-Suaza & José E. Gómez-González & Andrés Murcia Pabón & Fernando Tenjo-Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia 650, Banco de la Republica de Colombia.
  • Andrés Felipe García-Suaza & Jose Eduardo Gómez-González & Andrés Murcia pabón & Feenando tenjo Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," BORRADORES DE ECONOMIA 008305, BANCO DE LA REPÚBLICA.
• Héctor Zárate & Katherine Sánchez & Margarita Marín, 2011. "Cuantificación de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicación a la Encuesta Mensual de Expectativas Económicas," Borradores de Economia 649, Banco de la Republica de Colombia.
  • Héctor Zárate & Katherine Sánchez & Margarita Marín, 2011. "Cuantificación de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicación a la Encuesta Mensual de Expectativas Económicas," BORRADORES DE ECONOMIA 008327, BANCO DE LA REPÚBLICA.
• Viviana Alejandra Alfonso & Luis Eduardo Arango & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 651, Banco de la Republica de Colombia.
  • Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," BORRADORES DE ECONOMIA 008328, BANCO DE LA REPÚBLICA.
• Rafael Puyana & Mario Andrés Ramos & Héctor Zarate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a través de la compensación salarial," Borradores de Economia 652, Banco de la Republica de Colombia.
  • Rafael Puyana & Mario Andrés Ramos & Héctor Zárate, 2011. "Determinantes del subempleo en Colombia: Un enfoque a través de la compensación salarial," BORRADORES DE ECONOMIA 008337, BANCO DE LA REPÚBLICA.
• Sebástian Gómez Barrero & Julián A.Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 653, Banco de la Republica de Colombia.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," BORRADORES DE ECONOMIA 008576, BANCO DE LA REPÚBLICA.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," BORRADORES DE ECONOMIA 008577, BANCO DE LA REPÚBLICA.
• Sebástian Gómez Barrero & Julián A.Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," Borradores de Economia 653, Banco de la Republica de Colombia.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," BORRADORES DE ECONOMIA 008577, BANCO DE LA REPÚBLICA.
  • Sebastián Gómez Barrero & Julián Parra Polanía, 2011. "Comportamiento estratégico de los bancos centrales al anunciar pronósticos de inflación," BORRADORES DE ECONOMIA 008576, BANCO DE LA REPÚBLICA.
• Javier Gómez Restrepo & Juan Manuel Hernández Herrera, 2011. "Composición cambiaria y poder adquisitivo de las reservas internacionales," BORRADORES DE ECONOMIA 008578, BANCO DE LA REPÚBLICA.
• Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 222-245, Diciembre.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 29(66), pages 222-245, December.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia 656, Banco de la Republica de Colombia.
  • Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," BORRADORES DE ECONOMIA 008698, BANCO DE LA REPÚBLICA.
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
• Sasa Zikovic, 2011. "Measuring risk of crude oil at extreme quantiles," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 29(1), pages 9-31.
• Maria PASCU-NEDELCU, 2011. "Estimation of the Cost of Equity by Considering the Interdependences between Capital Markets," The Valuation Journal, National Association of Romanian Valuers, vol. 6(2), pages 76-99.
• Mustapha DJENNAS & Mohamed BENBOUZIANE & Meriem DJENNAS, 2011. "An Approach Of Combining Empirical Mode Decomposition And Neural Network Learning For Currency Crisis Forecasting," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(2), pages 170-184, December.
  • Mustapha Djennas & Mohamed Benbouziane & Meriem Djennas, 2011. "An Approach of Combining Empirical Mode Decomposition and Neural Network Learning for Currency Crisis Forecasting," Working Papers 627, Economic Research Forum, revised 09 Jan 2011.
• Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, Reading University.
• Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, Reading University.
• Man Fu & Prasad V. Bidarkota, 2011. "The Present Value Model With Stochastic Discount Rate And An Ann Process For Broad Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  • Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
• Radkov, Petar & Minkova, Leda, 2011. "Assessing bank's default probability using the ASRF model," MPRA Paper 60186, University Library of Munich, Germany.
• Mishari M. Alfaraih & Faisal S. Alanezi, 2011. "Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?," Accounting & Taxation, The Institute for Business and Finance Research, vol. 3(2), pages 65-84.
• Rajesh Mohnot, 2011. "Forecasting Forex Volatility In Turbulent Times," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 5(1), pages 27-38.
• Charles Wong & Massimiliano Versace, 2011. "Context Sensitivity With Neural Networks In Financial Decision Processes," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 5(5), pages 27-43.
• Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• Christian Bach & Bent Jesper Christensen, 2011. "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers 2010-61, Department of Economics and Business Economics, Aarhus University.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011. "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2011-44, Department of Economics and Business Economics, Aarhus University.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
  • Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  • Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
• John Mwamba, 2011. "Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach," The African Finance Journal, Africagrowth Institute, vol. 13(1), pages 14-27.
• Prof. univ. Constantinescu Dumitru Ph. D & George Dorin Petcu Ph. D Student, 2011. "Developing A And Monitoring Of The Risk Response Strategies In Project Finance," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(39), pages 156-166, May.
• Assoc. Prof. Dalia Simion Ph. D, Assoc. Prof. Elena Tob Ph. D, Asist. Sabin Armelu Ph. D Student, 2011. "Romanian Companies Increasing Performance Under The Influence Of Theier Capitalization Stock," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 4(39), pages 81-88, May.
• Felicia Ramona Birau, 2011. "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(39), pages 194-205.
• Florentina Simona Fãurescu & Oana Adriana Du?ã, 2011. "Evaluation Of Management Performance By Means Of Income Statements And Cash Flow," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 19-26, April.
• Mihaela IONASCU, 2011. "Properties of Analysts’ Forecasts for Romanian Listed Companies: How Much Do Firm-Specific Factors Matter?," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 10(3), pages 318-325, September.
• Javier DE ANDRES & Fernando SÁNCHEZ-LASHERAS & Pedro LORCA & Francisco Javier DE COS JUEZ, 2011. "A Hybrid Device of Self Organizing Maps (SOM) and Multivariate Adaptive Regression Splines (MARS) for the Forecasting of Firms’ Bankruptcy," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 10(3), pages 351-374, September.
• Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• David Jamieson Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
• Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic, 2011. "The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(2), pages 101-130, December.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1048-1067, September.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 784, Kyoto University, Institute of Economic Research.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers 782, Kyoto University, Institute of Economic Research.
• Rodolfo Apreda, 2011. "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo. 454, Universidad del CEMA.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Soenke Sievers & Jan Klobucnik, 2011. "Valuing high technology growth firms," Cologne Graduate School Working Paper Series 02-07, Cologne Graduate School in Management, Economics and Social Sciences.
• Stefan Erdorf & Thomas Hartmann-Wendels & Nicolas Heinrichs, 2011. "Diversification in Firm Valuation: A Multivariate Copula Approach," Cologne Graduate School Working Paper Series 02-01, Cologne Graduate School in Management, Economics and Social Sciences.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  • Taamouti, Abderrahim & Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  • Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
• Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, Association for Cultural Economics International, revised Nov 2011.
• Jiri Krtek & Miloslav Vošvrda, 2011. "Comparing Neural Networks and ARMA Models in Artificial Stock Market," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
• Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, January.
  • Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
• Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers 2011-23, University of Paris Nanterre, EconomiX.
• Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip, 2011. "Media Sentiment and UK Stock Returns," Working Papers 2011_06, Durham University Business School.
• Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
• Hartman, Brian M. & Heaton, Matthew J., 2011. "Accounting for regime and parameter uncertainty in regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 429-437.
• Kross, William J. & Ro, Byung T. & Suk, Inho, 2011. "Consistency in meeting or beating earnings expectations and management earnings forecasts," Journal of Accounting and Economics, Elsevier, vol. 51(1), pages 37-57.
• Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011. "Functional data analysis for volatility," Journal of Econometrics, Elsevier, vol. 165(2), pages 233-245.
• Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
  • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
  • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
• Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.
• Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
• Mason Gaffney, 2011. "An Award for Calling the Crash," Econ Journal Watch, Econ Journal Watch, vol. 8(2), pages 185-192, May.
• Krenar Avdulaj, 2011. "The Extreme Value Theory as a Tool to Measure Market Risk," Working Papers IES 2011/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
• Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
• Figà-Talamanca, G. & Guerra, M.L. & Stefanini, L., 2011. "Fuzzy uncertainty in the heston stochastic volatility model," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-19, November.
• Maciel, Leandro S., 2011. "Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 59-73, November.
• Rebiasz, B., 2011. "Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 39-65, May.
• Breitung, Jörg & Schmeling, Maik, 2013. "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
  • Breitung, Jörg & Schmeling, Maik, 2011. "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP) dp-485, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Toshiaki Watanabe, 2011. "Quantile Forecasts of Financial Returns Using Realized GARCH Models," Global COE Hi-Stat Discussion Paper Series gd11-195, Institute of Economic Research, Hitotsubashi University.
• Masato Ubukata & Toshiaki Watanabe, 2011. "Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion," Global COE Hi-Stat Discussion Paper Series gd11-214, Institute of Economic Research, Hitotsubashi University.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  • Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2011. "A Network Model of Financial System Resilience," SFB 649 Discussion Papers SFB649DP2011-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
• Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014. "TVICA—Time varying independent component analysis and its application to financial data," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 95-109.
  • Ray-Bing Chen & Ying Chen & Wolfgang Härdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias, 2011. "Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?," Melbourne Institute Working Paper Series wp2011n01, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• MÁrcio Poletti Laurini & Luiz Koodi Hotta, 2014. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 214-230, April.
  • Márcio Laurini & Luiz Koodi Hotta, 2011. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers 2011-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ, 2011. "Pricing of temperature-based weather options for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 26(309), pages 33-50.
• Aykut EKİNCİ & Halil İbrahim ERDAL, 2011. "Türkiye’de banka başarısızlıklarının tahmini üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 26(298), pages 21-44.
• Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  • Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
• Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
• Matthias W. Uhl, 2011. "Reuters Sentiment and Stock Returns," KOF Working papers 11-288, KOF Swiss Economic Institute, ETH Zurich.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  • McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics 11/05, University of Canterbury, Department of Economics and Finance.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  • Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1048-1067, September.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
  • Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
• Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, September.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  • Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers 767, Kyoto University, Institute of Economic Research.
  • Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series CARF-F-158, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  • Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  • Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers 782, Kyoto University, Institute of Economic Research.
  • Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers EI2011-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 784, Kyoto University, Institute of Economic Research.
  • Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Silvia Muzzioli & Bernard De Baets, 2011. "Assessing the information content of option-based volatility forecasts using fuzzy regression methods," Department of Economics 0669, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00755499, HAL.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
• Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch, 2010. "Forecasting the Polish Zloty with Non-Linear Models," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(2), pages 151-167, March.
  • Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011. "Forecasting the Polish zloty with non-linear models," NBP Working Papers 81, Narodowy Bank Polski, Economic Research Department.
• Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters,in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354 National Bureau of Economic Research, Inc.
  • Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
• Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.
  • Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers 17152, National Bureau of Economic Research, Inc.
• Stephen A. Ross, 2011. "The Recovery Theorem," NBER Working Papers 17323, National Bureau of Economic Research, Inc.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
  • Jessica A. Wachter & Missaka Warusawitharana, 2011. "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers 17334, National Bureau of Economic Research, Inc.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1003-1036, October.
  • Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
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  • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
• Benyovszki Annamaria & Bordas Eszter & Kurti Laszlo - Adam & Szodorai Melinda, 2011. "Troubleshooting Basel Ii: The Issue Of Procyclicality," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 461-468, July.
• Fat Codruta Maria & Dezsi Eva, 2011. "Exchange-Rates Forecasting: Exponential Smoothing Techniques And Arima Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 499-508, July.
• Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011. "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 515-523, July.
• Ciobotea Adina & Oaca Sorina Cristina, 2011. "Investment Decisions in the Romanian Pension Funds," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 359-362, May.
• Mihut Ioana Sorina, 2011. "The Impact of Inflation Rate Upon Interest Rate in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 1346-1350, May.
• Vintila Georgeta & Toroapa Maria Georgia, 2011. "Building a Scoring Model for Bankruptcy Risk Prediction on Multiple Discriminant Analysis," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 2283-2288, May.
• Lupaºc Adrian & Lupaºc Ioana & Zamfir Cristina Gabriela, 2011. "Actual Application of the Intelligent Systems and their Implications in Financial-Accounting Field," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 728-733, May.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Benjamin Kauper & Karl-Kuno Kunze, 2011. "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge 49, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
• Boril Šopov & Jakub Seidler, 2011. "Yield Curve Dynamics - Regional Common Factor Model," Prague Economic Papers, University of Economics, Prague, vol. 2011(2), pages 140-156.
  • Boril Šopov & Jakub Seidler, 2010. "Yield Curve Dynamics: Regional Common Factor Model," Working Papers IES 2010/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2010.
• Josef Taušer & Petr Buryan, 2011. "Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm," Prague Economic Papers, University of Economics, Prague, vol. 2011(3), pages 232-249.
• Ying Chen & Bo Li, 2011. "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 3(4), pages 237-259, December.
• Adam E Clements & Annastiina Silvennoinen, 2011. "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series 76, National Centre for Econometric Research.
• Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011. "Forecasting Equicorrelation," NCER Working Paper Series 72, National Centre for Econometric Research, revised 29 Aug 2011.
• Armas, Adrián & Vallejos , Lucy & Vega, Marco, 2011. "Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 27-56.
• Álvaro Montenegro, 2011. "Información y entropía en economía,"