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

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Most recent items first, undated at the end.

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2017 Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa
by Ayanda Sikhosana & Goodness C. Aye

2017 The Power of “Negative Beta”: Why Every Portfolio Should Include Private Equity
by Freeman, Andrew & Karagiannidis, Iordanis & Wilford, D. Sykes

2017 Downside Risk Protection of Retirement Assets: A New Approach
by Saha, Atanu & Rinaudo, Alex

2017 Systemic risk for financial institutions of major petroleum-based economies: The role of oil
by Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat

2017 IW Financial Expert Survey: 3. Quartal 2017
by Demary, Markus

2017 IW Financial Expert Survey: 2. Quartal 2017
by Demary, Markus

2017 Does investor attention matter? The attention-return relation in gold futures market
by Han, Liyan & Xu, Yang & Yin, Libo

2017 Scenario-based capital requirements for the interest rate risk of insurance companies
by Schlütter, Sebastian

2017 Momentumeffekt: Eine empirische Analyse der DAXsector Indizes des deutschen Prime Standards
by Reimers, Benjamin

2017 Implied volatility sentiment: A tale of two tails
by Felix, Luiz & Kräussl, Roman & Stork, Philip

2017 On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations
by Schmitt, Noemi & Westerhoff, Frank

2017 Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer

2017 Forecasting the Volatility of Nikkei 225 Futures
by Manabu Asai & Michael McAleer

2017 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by David E. Allen & Michael McAleer & Abhay K. Singh

2017 Implied Volatility Sentiment: A Tale of Two Tails
by Philip Stork & Luiz Félix & Roman Kräussl

2017 How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets
by Glenn Otto & Nigel Stapledon

2017 Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations
by Vsevolod I Gorlach

2017 A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test
by Davide De Gaetano

2017 Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows
by Davide De Gaetano

2017 Neglect Private Debt at the Economy’s Peril: Applying Balance Sheet Recession Analysis to the Post Bail-in Cyprus Economy
by Leslie G. Manison & Savvakis C. Savvides

2017 Example of a Rising NPV Profile for a Mining Project
by Bell, Peter

2017 Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility
by Lindblad, Annika

2017 The Entropic Linkage between Equity and Bond Market Dynamics
by Parker, Edgar

2017 Static and Dynamic Indicators in the Analysis of Internal Sources of Companies’ Investments Financing
by Bukvić, Rajko & Pavlović, Radica & Gajić, Aleksandar

2017 Irrungen und Wirrungen im Umfeld der Geldtheorie: Wohin einseitige Darstellungen der Zentralbanken führen
by Quaas, Georg

2017 Determinants of bank deposits in Morocco
by FERROUHI, El Mehdi

2017 Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk
by Senarathne, Chamil W & Jayasinghe, Prabhath

2017 The Relationship of RHB Bank Berhad’s Profitability with Leverage and Size (Total Asset)
by Sofi, Farah Nuramalina

2017 Risk and Performance of SapuraKencana Petroleum Berhad
by Jamalludin, Nadia

2017 Risk and Performance of SapuraKencana Petroleum Berhad
by Jamalludin, Nadia

2017 Инвестирование Денежных Средств В Условиях Экономического Кризиса В 2017 Году
by Egorova, Yana

2017 Investment in capital markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2017 A Principal Component Approach to Measuring Investor Sentiment in Hong Kong
by Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung

2017 Default contagion among credit modalities: evidence from Brazilian data
by Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo

2017 Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
by CHIKHI, Mohamed

2017 How Safe are Central Counterparties in Derivatives Markets?
by H Peyton Young & Mark Paddrik

2017 Contagion in the CDS Market
by H Peyton Young & Mark Paddrik

2017 Negative Bubbles: What Happens After a Crash
by William N. Goetzmann & Dasol Kim

2017 Stock Volatility and the Great Depression
by Gustavo S. Cortes & Marc D. Weidenmier

2017 Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
by Tingting Cheng & Jiti Gao & Oliver Linton

2017 A CVAR scenario for a standard monetary model using theory-consistent expectations
by Katarina Juselius

2017 Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
by Katarina Juselius

2017 Financial Conditions Indicator for Brazil
by Wagner Piazza Gaglianone & Waldyr Dutra Areosa

2017 Industry Interdependency Dynamics in a Network Context
by Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen

2017 On the Returns of Trend-Following Trading Strategies
by Lundström, Christian

2017 Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses
by Wilson, Daniel J.

2017 Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting
by Knotek, Edward S. & Zaman, Saeed

2017 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
by Frantisek Cech & Jozef Barunik

2017 Common Cycles in Volatility and Cross Section of Stock Returns
by Jozef Barunik & Lucie Kraicova

2017 Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach
by Matej Nevrla

2017 Forecasting the Volatility of Nikkei 225 Futures
by Asai, M. & McAleer, M.J.

2017 SenSR: A sentiment-based systemic risk indicator
by Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige

2017 Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach
by Afees A. Salisu & Umar N. Ndako

2017 Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach
by Mawuli Segnon & Mark Trede

2017 Monetary Policy and Asset Valuation
by Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney

2017 Intraday Market Making with Overnight Inventory Costs
by Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong

2017 Picking Funds with Confidence
by Groenborg, Niels & Lunde, Asger & Timmermann, Allan G & Wermers, Russ

2017 The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability
by Ke WU & Spencer WHEATLEY & Didier SORNETTE

2017 Timing Strategy Performance in the Crude Oil Futures Market
by Nick Taylor

2017 Forecasting the equity risk premium with frequency-decomposed predictors
by Faria, Gonçalo & Verona, Fabio

2017 The Renminbi central parity : An empirical investigation
by Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew

2017 Machine learning at central banks
by Chakraborty, Chiranjit & Joseph, Andreas

2017 A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
by Tom Roberts

2017 Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach
by Hyeongwoo Kim & Kyunghwan Ko

2017 Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?
by Levent Bulut

2017 Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System
by Gila-Gourgoura, E. & Nikolaidou, E.

2017 Term structure forecasting in affine framework with time-varying volatility
by Wali Ullah

2017 Hedging under generalized good-deal bounds and model uncertainty
by Dirk Becherer & Klebert Kentia

2017 Is USD-INR Really an Excessively Volatile Currency Pair?
by Parthajit Kayal & S. Maheswaran

2017 Complexity and model comparison in agent based modeling of financial markets
by Alexandru Mandes & Peter Winker

2017 Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets
by Beatriz Vaz de Melo Mendes & Victor Bello Accioly

2017 The real miss-specification in the forward rate premium puzzle
by Amit K. Sinha & Philip A. Horvath & Robert C. Scott

2017 Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models
by Hanxiong Zhang & Robert Hudson & Hugh Metcalf & Viktor Manahov

2017 Predicting the direction of US stock markets using industry returns
by Harri Pönkä

2017 Measuring Tanker Market Future Risk with the use of FORESIM
by Dimitrios Lyridis & Nikolaos Manos & Panayotis Zacharioudakis & Athanassios Pappas & Aristidis Mavris

2017 Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data
by Micha³ Chojnowski & Piotr Dybka

2017 The Australian retirement lottery: A system failure
by Amandha Ganegoda & John Evans

2017 Macroeconomic Forecast Models – Concepts And Theoretical Notions
by Florin Paul Costel LILEA & Andreea – Ioana MARINESCU

2017 Theoretical Aspects Of The Role Of Information In The Process Of Decisions/Risks Modeling
by Constantin ANGHELACHE & Madalina-Gabriela ANGHEL & Gyorgy BODO

2017 GARCH model and fat tails of the Chinese stock market returns - New evidences
by Michael Day & Mark Diamond & Jeff Card & Jake Hurd & Jianping Xu

2017 Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better
by Andrey Kudryavtsev & Shosh Shahrabani & Yaniv Azoulay

2017 Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework
by Doojin RYU & Hyein SHIM

2017 An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange
by Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN)

2017 Winter Saeculum
by Mihalina, Emil & Krivicic, Ivan & Antunovic, Tihomir

2017 Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey

2017 A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio
by Andreea Costea

2017 Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy
by Ján Malega & Roman Horváth

2017 Causality Illusion and Overconfidence in Predicting (Quasi)Stochastic Financial Events
by Petr Houdek & Petr Koblovský & Jan Plaček & Luboš Smrčka

2017 Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses
by Egon A. Kalotay & Edward I. Altman

2017 Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente

2017 Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente

2017 Combining Multivariate Volatility Forecasts: An Economic-Based Approach
by João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos

2017 Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach
by Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis

2017 O efeito de smart money nos fundos de investimento: o caso português [The smart money effect in mutual funds: the Portuguese case]
by Júlio Lobão

2017 Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review
by Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso

2017 A possible methodology for determining the initial margin
by Marcell Béli & Kata Váradi

2017 Una herramienta de cálculo para la predicción de los Requerimientos de Capital en seguros de vida/A tool for Predicting Solvency Capital Requirements in Life Insurance
by GARCÍA, SONÍA & PAVÍA, JOSÉ M. & VERES FERRER, ERNESTO JESÚS & LLEDÓ, JOSEP

2017 Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives
by José Hernández & Fernando Carvajal-Serna

2017 Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation
by Dorra Najar

2017 A unified approach for the pricing of options relating to averages
by Hideharu Funahashi & Masaaki Kijima

2017 Biotechnical portfolio management of mixed-species forests
by Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey

2017 Predicting stock returns in the presence of uncertain structural changes and sample noise
by Daniel Mantilla-García & Vijay Vaidyanathan

2017 Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries
by D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug

2017 Return Predictability in Australian Managed Funds
by Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu

2017 The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia
by Petar Pierre Matek & Masa Galic

2017 EU unification and linkages among the European currencies: new evidence from the EU and the EEA
by Stoupos, Nikolaos & Kiohos, Apostolos

2017 Is high-frequency trading tiering the financial markets?
by Virgilio, Gianluca

2017 Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market
by Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao

2017 The dynamic conditional relationship between stock market returns and implied volatility
by Park, Sung Y. & Ryu, Doojin & Song, Jeongseok

2017 Exchangeability, extreme returns and Value-at-Risk forecasts
by Huang, Chun-Kai & North, Delia & Zewotir, Temesgen

2017 Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches
by Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh

2017 Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations
by Lansing, Kevin J. & Ma, Jun

2017 International volatility risk and Chinese stock return predictability
by Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun

2017 Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns
by Bhamra, Harjoat S. & Shim, Kyung Hwan

2017 Market selection
by Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M.

2017 Equity index variance: Evidence from flexible parametric jump–diffusion models
by Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J.

2017 When time is not on our side: The costs of regulatory forbearance in the closure of insolvent banks
by Cole, Rebel A. & White, Lawrence J.

2017 An analysis of simultaneous company defaults using a shot noise process
by Egami, M. & Kevkhishvili, R.

2017 Do oil futures prices predict stock returns?
by Chiang, I-Hsuan Ethan & Hughen, W. Keener

2017 Dividends, earnings, and predictability
by Møller, Stig V. & Sander, Magnus

2017 One-sided performance measures under Gram-Charlier distributions
by León, Angel & Moreno, Manuel

2017 Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?
by Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus

2017 Value-at-Risk under Lévy GARCH models: Evidence from global stock markets
by Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed

2017 Superiority of optimized portfolios to naive diversification: Fact or fiction?
by Zakamulin, Valeriy

2017 Optimal hedge ratio in a biased forward market under liquidity constraints
by Dömötör, Barbara

2017 Impact of persistent bad returns and volatility on retirement outcomes
by Basu, Anup K. & Wiafe, Osei K.

2017 Forecasting volatility with interacting multiple models
by Svec, Jiri & Katrak, Xerxis

2017 Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models
by Tunaru, Diana

2017 Predictability and diversification benefits of investing in commodity and currency futures
by Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio

2017 Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data
by Degiannakis, Stavros & Potamia, Artemis

2017 Is hedging the crack spread no longer all it's cracked up to be?
by Liu, Pan & Vedenov, Dmitry & Power, Gabriel J.

2017 Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model
by Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel

2017 Can investor sentiment be a momentum time-series predictor? Evidence from China
by Han, Xing & Li, Youwei

2017 Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates
by Fries, Christian P. & Nigbur, Tobias & Seeger, Norman

2017 A comparison of alternative cash flow and discount rate news proxies
by Khimich, Natalya

2017 Marked Hawkes process modeling of price dynamics and volatility estimation
by Lee, Kyungsub & Seo, Byoung Ki

2017 Relation between higher order comoments and dependence structure of equity portfolio
by Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang

2017 Application of wavelet decomposition in time-series forecasting
by Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M.

2017 Hitting SKEW for SIX
by Liu, Zhangxin (Frank) & Faff, Robert

2017 Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect
by Huo, Rui & Ahmed, Abdullahi D.

2017 Learning and forecasts about option returns through the volatility risk premium
by Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela

2017 Impact of value-at-risk models on market stability
by Llacay, Bàrbara & Peffer, Gilbert

2017 On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations
by Schmitt, Noemi & Westerhoff, Frank

2017 Loss Given Default Estimating by the Conditional Minimum Value
by Mustapha Ammari & Ghizlane Lakhnati

2017 Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression
by Zi-Yi Guo

2017 Default-implied Asset Correlation: Empirical Study for Moroccan Companies
by Mustapha Ammari & Ghizlane Lakhnat

2017 A Stochastic Approach for Determining Profit Rate of Islamic Financing Products
by Zaidi Isa & Nur Amalina Shafie

2017 Detecting Asset Price Bubbles: A Multifactor Approach
by André Tomfort

2017 Методика За Анализ На Тренда В Борсовата Активност, Базирана На Индикаторните Сигнали И Честотната Променливост
by Стефан СИМЕОНОВ

2017 A Methodology For Trend Analysis Of Stock Exchange Activities, Based On Indicator Signals And Frequency Volatility
by Stefan SIMEONOV

2017 Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
by Juan Carlos Gutierrez Betancur

2017 Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos
by Hernández Arango, José Miguel & Carvajal-Serna, Luis Fernando

2017 Conventional views and asset prices: What to expect after times of extreme opinions
by J. Daniel Aromí

2017 The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk
by Ormos Mihály & Timotity Dusán

2017 Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange
by BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria

2017 Price bubbles and financial markets efficiency
by Doncho Donev

2016 Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti

2016 Are critical slowing down indicators useful to detect financial crises?
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti

2016 Excess liquidity creation of banks and nancial market peaks
by Dr. Patrick Weber

2016 Predicting the equity premium via its components
by Bätje, Fabian & Menkhoff, Lukas

2016 Interest rate risk, longevity risk and the solvency of life insurers
by Berdin, Elia

2016 Herding, minority game, market clearing and efficient markets in a simple spin model framework
by Kristoufek, Ladislav & Vošvrda, Miloslav S.

2016 Money growth and aggregate stock returns
by Böing, Tobias & Stadtmann, Georg

2016 Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China
by Han, Xing & Li, Youwei

2016 EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
by Marcin Chlebus

2016 One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable
by Marcin Chlebus

2016 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by David E. Allen & Michael McAleer & Abhay K. Singh

2016 Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
by Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk

2016 Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
by Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann

2016 A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors
by Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele

2016 Risk premia estimation in Brazil: wait until 2041
by Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno

2016 Does It Pay To Be Good? An Analysis Of Vice And Virtue Stock Performance In The Eurozone
by Toni Vide

2016 Forecast Combinations For Realized Volatility In Presence Of Structural Breaks
by Davide De Gaetano

2016 Equity Premium Prediction: The Role of Economic and Statistical Constraints
by Jiahan Li & Ilias Tsiakas

2016 Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair
by Alasdair Brown & Dooruj Rambaccussing & James Reade & Giambattista Rossi

2016 Volatility Dependent Dynamic Equicorrelation
by Adam Clements & Ayesha Scott & Annastiina Silvennoinen

2016 Overcoming Private Debt: Unblocking and rebuilding the loan burdened real economy in Cyprus
by Savvakis C. Savvides

2016 Towards Sustainable Growth: Rebuilding the Foundations of the Cyprus Economy
by Leslie G. Manison & Savvakis C. Savvides

2016 Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing
by Širůček, Martin & Galečka, Ondřej

2016 Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability
by Parker, Edgar

2016 Corwin-Schultz bid-ask spread estimator in the Brazilian stock market
by Ripamonti, Alexandre

2016 Stock market volatility using GARCH models: Evidence from South Africa and China stock markets
by Cheteni, Priviledge

2016 Stock Return Prediction with Fully Flexible Models and Coefficients
by Byrne, Joseph & Fu, Rong

2016 Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data
by Degiannakis, Stavros & Potamia, Artemis

2016 Financial Bubble Detection : A Non-Linear Method with Application to S&P 500
by Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos

2016 Nonparametric Dynamic Conditional Beta
by Maheu, John M & Shamsi, Azam

2016 On the choice of covariance specifications for portfolio selection problems
by R. Ferreira, Alexandre & A. P. Santos, Andre

2016 Risk adjustment of the credit-card augmented Divisia monetary aggregates
by Barnett, William & Su, Liting

2016 Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

2016 The credit-card-services augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

2016 Forecast in Capital Markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2016 The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
by Fantazzini, Dean

2016 Everything you always wanted to know about bitcoin modelling but were afraid to ask
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey

2016 Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence
by Thomadakis, Apostolos

2016 Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation
by BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman

2016 Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK
by Janine Aron & John Muellbauer

2016 Commodity Price Forecasts, Futures Prices and Pricing Models
by Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz

2016 Peer Information and Risk-taking under Competitive and Non-competitive Pay Schemes
by Philip Brookins & Jennifer Brown & Dmitry Ryvkin

2016 Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks
by Zeineb Affes & Rania Hentati-Kaffel

2016 A note on normalization schemes:The case of generalized forecast error variance decompositions
by Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

2016 Liquidity Needs And Liquidity Costs Of An Instant Payment System
by Gergely Patrik Balla & Tamás Ilyés

2016 Analyzing the correlation between online texts and stock price movements at micro-level using machine learning
by Frantisek Darena & Jonas Petrovsky & Jan Zizka & Jan Prichystal

2016 Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K
by Pantelis Promponas & David Alan Peel

2016 Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Liting Su

2016 Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

2016 The Credit-Card-Services Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

2016 From bond yield to macroeconomic instability: The effect of negative interest rates
by Maria Cristina Recchioni & Gabriele Tedeschi

2016 Choice of Collateral Asset and the Cross-Border Effect of Automatic Stays
by Hiroshi Fujiki & Charles M. Kahn

2016 Investor Sentiment and Sector Returns
by Ahmed Salhin & Mo Sherif & Edward Jones

2016 Factorisable Multi-Task Quantile Regression
by Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan

2016 Q3-D3-Lsa
by Lukas Borke & Wolfgang K. Härdle &

2016 Credit Rating Score Analysis
by Wolfgang Karl Härdle & Phoon Kok Fai & David Lee Kuo Chuen

2016 The Renminbi Central Parity: An Empirical Investigation
by Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang

2016 Could Emotional Markers in Twitter Posts Add Information to the Stock Market Armax-Garch Model
by Alexander Porshnev & Valeria Lakshina & Ilya Redkin

2016 Informed trading in Hybrid Bond Markets
by Valseth, Siri

2016 Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
by Lunina, Veronika

2016 Using Social Media to Identify Market Ine!ciencies: Evidence from Twitter and Betfair
by Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi

2016 Comparing the market risk premia forecasts in JSE and NYSE equity markets
by Leoni Eleni Oikonomikou

2016 Forecasting the Market Risk Premium with Artificial Neural Networks
by Leoni Eleni Oikonomikou

2016 Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo

2016 Intraday market making with overnight inventory costs
by Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong

2016 Global price of risk and stabilization policies
by Adrian, Tobias & Stackman, Daniel & Vogt, Erik

2016 From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
by Kruttli, Mathias S.

2016 Term Premium Variability and Monetary Policy
by Fuerst, Timothy S. & Mau, Ronald

2016 Are Lemons Sold First? Dynamic Signaling in the Mortgage Market
by Adelino, Manuel & Gerardi, Kristopher S. & Hartman-Glaser, Barney

2016 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by Allen, D.E. & McAleer, M.J. & Singh, A.K.

2016 Systemic Default and Return Predictability in the Stock and Bond Markets
by Bao, Jack & Hou, Kewei & Zhang, Shaojun A.

2016 Sticky Expectations and Stock Market Anomalies
by Thesmar , David & Bouchaud, Jean-Philippe & Krueger , Philipp & Landier , Augustin

2016 Earnings Increases as a Type-Revealing Signal
by Capkun, Vedran & Beneish , Messod Daniel

2016 Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair
by Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi

2016 Equity Premium Prediction: Are Economic and Technical Indicators Unstable?
by Fabian Baetje & Lukas Menkhoff

2016 "Change Detection and the Causal Impact of the Yield Curve
by Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi

2016 A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs
by Alessandro Spelta

2016 A new combination approach to reducing forecast errors with an application to volatility forecasting
by Till Weigt & Bernd Wilfling

2016 What is the Expected Return on a Stock?
by Martin, Ian & Wagner, Christian

2016 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
by Adrian, Tobias & Crump, Richard K. & Vogt, Erik

2016 Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK
by Aron, Janine & Muellbauer, John

2016 Superannuation and Macroeconomic Growth and Stability
by 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
by Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer

2016 Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star
by Miller Ariza

2016 Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by René Garcia & Caio Almeida & Kym Ardison & Jose Vicente

2016 S&P 500 Index, an Option Implied Risk Analysis
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

2016 A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon
by Li Lin & Didier Sornette

2016 Sticky Expectations and the Profitability Anomaly
by Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar

2016 WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

2016 Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

2016 Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
by Vladimir Filimonov & Guilherme Demos & Didier Sornette

2016 Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles
by Didier Sornette & Sandra Andraszewicz & Ryan O. Murphy & Philipp B. Rindler & Dorsa Sanadgol

2016 How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?
by Benjamin R. Auer & Benjamin Mögel

2016 The Renminbi Central Parity: An Empirical Investigation
by Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang

2016 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kraemer

2016 The Time-Varying Risk of Macroeconomic Disasters
by Roberto Marfè & Julien Penasse

2016 Risk Premiums in Slovak Government Bonds
by Ludovit Odor & Pavol Povala

2016 Forecasting the equity risk premium with frequency-decomposed predictors
by Gonçalo Faria & Fabio Verona

2016 Forecasting stock market returns by summing the frequency-decomposed parts
by Gonçalo Faria & Fabio Verona

2016 Prediction Markets: Reality and Theory
by Daniella Acker

2016 Realised Variance Forecasting Under Box-Cox Transformations
by Nick Taylor

2016 The re-pricing of sovereign risks following the global financial crisis
by Dimitris Malliaropulos & Petros M. Migiakis

2016 Forecasting stock market returns by summing the frequency-decomposed parts
by Faria, Gonçalo & Verona, Fabio

2016 Assessing vulnerabilities to financial shocks in some key global economies
by Lukasz, Rachel & Fisher, Jack

2016 The role of collateral in supporting liquidity
by Baranova, Yuliya & Liu, Zijun & Noss, Joseph

2016 A comparative analysis of tools to limit the procyclicality of initial margin requirements
by Murphy, David & Vasios, Michalis & Vause, Nicholas

2016 An agent-based model of dynamics in corporate bond trading
by Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur

2016 Functional Systemic Risk, Complementarities and Early Warnings
by Cañón Salazar Carlos Iván;Gallón Santiago;Olivar Santiago

2016 Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
by Fuchun Li & Hongyu Xiao

2016 Forecasting Financial Vulnerability in the US: A Factor Model Approach
by Hyeongwoo Kim & Wen Shi

2016 Forecasting Financial Stress Indices in Korea: A Factor Model Approach
by Hyeongwoo Kim & Wen Shi & Hyun Hak Kim

2016 The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?
by Tom Engsted & Thomas Q. Pedersen

2016 Robust time series models with trend and seasonal components
by Michele Caivano & Andrew Harvey & Alessandra Luati

2016 Predicting above-median and below-median growth rates
by Alexander Hölzl & Sebastian Lobe

2016 Errors and questionable judgments in analysts’ DCF models
by Jeremiah Green & John R. M. Hand & X. Frank Zhang

2016 What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary
by Yuri Biondi & Simone Righi

2016 Effects of time horizon and asset condition on the profitability of technical trading rules
by Roy L. Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter A. Beling & William T. Scherer

2016 Franchise ownership redirection: real options perspective
by Lukito Adi Nugroho

2016 Business cycles and the expectations of short-term central bank rates in light of Construal Level Theory
by Sagi Akron

2016 Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging
by Yudong Wang & Li Liu

2016 Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği
by Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ

2016 Bulgarian stock market and market risk forecasting under long memory in returns
by Boyan Lomev & Nikolay Netov

2016 Effect of Earnings Quality on the Returns-Earnings Relationship: Evidence from the Warsaw Stock Exchange (Wplyw jakosci zysku na zaleznosc pomiedzy zyskiem a stopa zwrotu z akcji na przykladzie GPW w Warszawie)
by Rafa³ Cieœlik

2016 Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone
by Toni Vide

2016 An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III
by Katherine Uylangco & Siqiwen Li

2016 The Impact of Momentum Factors on Multi Asset Portfolio
by Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL

2016 Discretion of Dynamic Position Adjustment in Hedging Strategy
by Hongfeng Peng & Xiaoyu Tan & Yi Chen

2016 Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
by Velásquez, Mateo & Gutiérrez , Juan & Almonacid , Paula

2016 Determining the Firm Specific Factors Affecting the Capital Increase
by Tuna, İsmail & Karaca, Süleyman Serdar

2016 A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey
by Emekter, Riza & Jirasakuldech, Benjamas

2016 Everything you always wanted to know about bitcoin modelling but were afraid to ask. I
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey

2016 Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
by Jan Hanousek & Anastasiya Shamshur & Jiří Trešl

2016 Shluková analýza skoků na kapitálových trzích
by Jan Hanousek & Evžen Kočenda & Jan Novotný

2016 The relationship between the real economy and financial sector regarding technological bubbles
by Petr Makovský

2016 Quantitative Forecast of Demand for Life Insurance in CR in 2015-2018: Macroeconomic Growth versus Industry Restructuring
by Jiří Šindelář

2016 Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market
by LAI Ping-fu (Brian) & CHO Kwai-yee (Kevin)

2016 Why do Goals Matter? Sport Events and Capital Market Returns
by Aurora Murgea & Milena-Jana Schank

2016 Risk Modeling Approaches in Terms of Volatility Banking Transactions
by Angelica CucÅŸa (Stratulat)

2016 Another Look at Market Responses to Tangible and Intangible Information
by Daniel, Kent & Titman, Sheridan

2016 Determinants of life insurance demand in new EU member states: panel data analysis
by Igor Živko & Mile Bošnjak

2016 Pharmaceutical patents valuation through real options: Certainty equivalents and utility function
by Julián Pareja Vasseur & Carolina Cadavid Pérez

2016 Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts
by Massimiliano Kaucic & Roberto Daris

2016 A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement
by Nusrat Jahan & John J. Cheh & Il-woon Kim

2016 Affine Term Structure Models: Forecasting the Yield Curve for Colombia
by Mateo Velásquez-Giraldo & Diego Restrepo-Tobón

2016 An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors
by Jaydip SEN & Tamal DATTA CHAUDHURI

2016 Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation
by Issam BOUSALAM

2016 A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete
by Havran, Dániel & Váradi, Kata

2016 The dynamic relation between options trading, short selling, and aggregate stock returns
by R. Jared DeLisle & Bong Soo Lee & Nathan Mauck

2016 Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK
by Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras

2016 Monetary Policy and Risk-Based Asset Allocation
by Alexis Flageollet & Hamza Bahaji

2016 A Top-down Approach to Stress-testing Banks
by Pavel Kapinos & Oscar A. Mitnik

2016 Price distortion induced by a flawed stock market index
by Kotaro Miwa & Kazuhiro Ueda

2016 A Quantile Regression Approach to the Multiple Period Value at Risk Estimation
by Chi Ming Wong & Lei Lam Olivia Ting

2016 New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach
by Ikechukwu Kelikume

2016 Evaluating banks performance using key financial indicators – a quantitative modeling of Russian banks
by Satish Sharma & Mikhail Shebalkov & Andrey Yukhanaev

2016 Accumulating approach to the life-cycle pension model: practical advantages
by Yaniv Azoulay & Andrey Kudryavtsev & Shosh Shahrabani

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 Primera Revisión Para El Mercado De Valores Mexicano
by De la Torre, Oscar & Galeana, Evaristo & Aguilasocho, Dora

2016 Macroeconomic Variables Affecting Bist30 Index Value in Turkey
by Ozge KORKMAZ & Esref Savas BASCI & SuleymanSerdar KARACA

2016 Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion
by Eduardo Sandoval & Macarena Soto

2016 Forecasting Volume And Price Impact Of Earnings Surprises Using Google Insights
by Jedediah Baker

2016 Spliced Correlation: Theory Development
by Jeffry Haber

2016 Is the Development of WIG Index Determined by Certain Macroeconomic and Financial Factors?
by Krzysztof Drachal

2016 Estrategias dinámicas de cobertura cruzada eficiente para el mercado del petróleo mexicano: Evidencia de dos modelos GARCH multivariados con término de corrección de error
by Raúl De Jesús Gutiérrez.

2016 Dynamics of financial markets and transaction costs: A graph-based study
by Lillo, Felipe & Valdés, Rodrigo

2016 An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries
by Yavas, Burhan F. & Dedi, Lidija

2016 Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks
by Koutmos, Dimitrios

2016 Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ
by Gutierrez, Jose

2016 Do economic variables improve bond return volatility forecasts?
by Chao, Shih-Wei

2016 Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
by Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan

2016 A representative agent asset pricing model with heterogeneous beliefs and recursive utility
by Suzuki, Masataka

2016 A macro-finance term structure model with multivariate stochastic volatility
by Laurini, Márcio P. & Caldeira, João F.

2016 Do analysts cater to investor beliefs via target prices
by Chen, An-Sing & Chang, Chong-Chuo & Cheng, Lee-Young & Tu, Hsing-Yu

2016 In search of the determinants of European asset market comovements
by Gomes, Pedro & Taamouti, Abderrahim

2016 Can commodity returns forecast Canadian sector stock returns?
by Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E.

2016 Investor sentiment and aggregate volatility pricing
by Labidi, Chiraz & Yaakoubi, Soumaya

2016 Analysts’ preference for growth investing and vulnerability to market-wide sentiment
by Miwa, Kotaro & Ueda, Kazuhiro

2016 A portfolio insurance strategy for volatility index (VIX) futures
by Jung, Young Cheol

2016 Inflation forecasts extracted from nominal and real yield curves
by Geyer, Alois & Hanke, Michael & Weissensteiner, Alex

2016 Forecasting stock market volatility using Realized GARCH model: International evidence
by Sharma, Prateek & Vipul,

2016 Detecting the great short squeeze on Volkswagen
by Godfrey, Keith R.L.

2016 Chinese stock market volatility and the role of U.S. economic variables
by Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong

2016 “Modelling and forecasting mortgage delinquency and foreclosure in the UK.”
by Aron, Janine & Muellbauer, John

2016 A semiparametric factor model for CDO surfaces dynamics
by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

2016 Exchange rate predictability in a changing world
by Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J.

2016 Heterogeneous agents, the financial crisis and exchange rate predictability
by Buncic, Daniel & Piras, Gion Donat

2016 Forecasting exchange rates under parameter and model uncertainty
by Beckmann, Joscha & Schüssler, Rainer

2016 The common factor in idiosyncratic volatility: Quantitative asset pricing implications
by Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn

2016 Risk and risk management in the credit card industry
by Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar

2016 Voluntary monthly earnings disclosures and analyst behavior
by Tsao, Shou-Min & Lu, Hsueh-Tien & Keung, Edmund C.

2016 The predictive performance of commodity futures risk factors
by Ahmed, Shamim & Tsvetanov, Daniel

2016 Predictability in bond returns using technical trading rules
by Shynkevich, Andrei

2016 Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests
by Koliai, Lyes

2016 Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model
by Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru

2016 Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests
by Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng

2016 Systematic multi-period stress scenarios with an application to CCP risk management
by De Genaro, Alan

2016 A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
by Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K.

2016 Firm geographic dispersion and financial analysts’ forecasts
by Platikanova, Petya & Mattei, Marco Maria

2016 How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
by Konstantinidi, Eirini & Skiadopoulos, George

2016 Dynamic threshold values in earnings-based covenants
by Li, Ningzhong & Vasvari, Florin P. & Wittenberg-Moerman, Regina

2016 The interactive relationship between the US economic policy uncertainty and BRIC stock markets
by Dakhlaoui, Imen & Aloui, Chaker

2016 Nonparametric long term prediction of stock returns with generated bond yields
by Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch

2016 An order of asymmetry in copulas, and implications for risk management
by Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F.

2016 Correlated beliefs, returns, and stock market volatility
by David, Joel M. & Simonovska, Ina

2016 Forest planning and productivity-risk trade-off through the Markowitz mean-variance model
by Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine

2016 The credit quality channel: Modeling contagion in the interbank market
by Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian

2016 Cross-sectional return dispersion and the equity premium
by Maio, Paulo

2016 The performance of the switching forecast model of value-at-risk in the Asian stock markets
by Chiu, Yen-Chen & Chuang, I-Yuan

2016 Who are the net senders and recipients of volatility spillovers in China’s financial markets?
by Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H.

2016 Does frequency matter for intraday technical trading?
by Frömmel, Michael & Lampaert, Kevin

2016 Real oil prices and the international sign predictability of stock returns
by Pönkä, Harri

2016 Weekday variation in the leverage effect: A puzzle
by Smith, Geoffrey Peter

2016 Efficient estimation of unconditional capital by Monte Carlo simulation
by Ferrer, Alex & Casals, José & Sotoca, Sonia

2016 Echo effects and the returns from 52-week high strategies
by Chen, An-Sing & Yang, Wayne

2016 Overseas market shocks and VKOSPI dynamics: A Markov-switching approach
by Song, Wonho & Ryu, Doojin & Webb, Robert I.

2016 Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme
by Shi, Guangping & Liu, Xiaoxing & Tang, Pan

2016 A parsimonious quantile regression model to forecast day-ahead value-at-risk
by Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur

2016 Long-term perspective on the stock market matters in asset pricing
by Park, Heungju & Sohn, Bumjean

2016 Credit-implied forward volatility and volatility expectations
by Byström, Hans

2016 What drives asymmetric dependence structure of asset return comovements?
by Poshakwale, Sunil S. & Mandal, Anandadeep

2016 Managerial sentiment, consumer confidence and sector returns
by Salhin, Ahmed & Sherif, Mohamed & Jones, Edward

2016 Size and power of tests based on Permanent-Transitory Component Models
by Casalin, Fabrizio

2016 Are Japanese margin buyers informed?
by Lee, Bong-Soo & Ko, Kwangsoo

2016 The modified dividend–price ratio
by Polimenis, Vassilis & Neokosmidis, Ioannis M.

2016 The oil price crash in 2014/15: Was there a (negative) financial bubble?
by Fantazzini, Dean

2016 Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?
by Drachal, Krzysztof

2016 Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
by Wen, Fenghua & Gong, Xu & Cai, Shenghua

2016 How is volatility in commodity markets linked to oil price shocks?
by Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo

2016 Oil price volatility forecast with mixture memory GARCH
by Klein, Tony & Walther, Thomas

2016 What the investors need to know about forecasting oil futures return volatility
by Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng

2016 The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach
by Pan, Zhiyuan & Wang, Yudong & Liu, Li

2016 Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models
by Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan

2016 A compound duration model for high-frequency asset returns
by Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory

2016 Political risk and expected government bond returns
by Duyvesteyn, Johan & Martens, Martin & Verwijmeren, Patrick

2016 Bond portfolio optimization using dynamic factor models
by Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P.

2016 The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility
by Byun, Sung Je

2016 Exchange rates and commodity prices: Measuring causality at multiple horizons
by Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W.

2016 Using Merton model for default prediction: An empirical assessment of selected alternatives
by Afik, Zvika & Arad, Ohad & Galil, Koresh

2016 Volatility can be detrimental to option values!
by Ghoddusi, Hamed & Fahim, Arash

2016 A nonparametric approach to test for predictability
by Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng

2016 Forecasting the term structure of volatility of crude oil price changes
by Balaban, Ercan & Lu, Shan

2016 International sign predictability of stock returns: The role of the United States
by Nyberg, Henri & Pönkä, Harri

2016 Stock market liquidity and economic cycles: A non-linear approach
by Switzer, Lorne N. & Picard, Alan

2016 Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach
by Hoang, Thi Hong Van & Lahiani, Amine & Heller, David

2016 Can anchoring explain biased forecasts? Experimental evidence
by Meub, Lukas & Proeger, Till

2016 Can anchoring explain biased forecasts? Experimental evidence
by Meub, Lukas & Proeger, Till

2016 Properties of expectation biases: Optimism and overconfidence
by Kinari, Yusuke

2016 Properties of expectation biases: Optimism and overconfidence
by Kinari, Yusuke

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
by Rangga Handika & Rangga Handika & Sigit Triandaru

2016 Gulf Cooperation Council Stock Returns and the Effect of Domestic Monetary Policy Shocks
by Rashid Sbia & Rashid Sbia & Helmi Hamdi & Bedri Kamil Onur Tas & Sahel Al Rousan

2016 Do Financial Conditions have a Predictive Power on Inflation in Turkey?
by Umit Bulut

2016 Single or Menu Contracting: A Game Theory Application of the Hersanyi Model to Mudaraba Financing
by Adil EL Fakir & Mohamed Tkiouat

2016 Commodity Channel Index: Evaluation of Trading Rule of Agricultural Commodities
by Mansoor Maitah & Petr Prochazka & Michal Cermak & Karel Šrédl

2016 Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market
by Monira Essa Aloud

2016 Оценяване И Прогнозиране На Пазарния Риск На Българските Публични Нефинансови Дружества
by Габриела Кръстева

2016 Modelling and Forecasting with Financial Duration Data Using Non-linear Model
by Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING

2016 Using Nature-Inspired Metaheuristics to Train Predictive Machines
by Vasile GEORGESCU

2016 A Business Intelligence Instrument for Detection and Mitigation of Risks Related to Projects Financed from Structural Funds
by Marcel Ioan BOLOS & Diana Claudia SABĂU-POPA & Emil SCARLAT & Ioana-Alexandra BRADEA & Camelia DELCEA,

2016 Connections Between Sentiment Indices And Reduced Volatilities Of Sustainability Stock Market Indices
by Iulia LUPU & Gheorghe HURDUZEU & Mariana NICOLAE

2016 Characteristics and prospects of development of securitisation investment funds market in Poland
by Dorota Krupa & Michal Buszko

2016 Actualización del modelo de riesgo crediticio, una necesidad para la banca revolvente en México
by José Carlos Trejo García & Humberto Ríos Bolívar & Francisco Almagro Vázquez

2016 Modelación de la asimetría y la curtosis condicionales en series financieras colombianas
by Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia

2016 The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets
by Imen Dakhlaoui & Chaker Aloui

2016 Applying the stock evaluation models on the Bulgarian stock market
by Doncho Donev

2016 Is Halloween Effect a New Puzzle? Evidence from Price Gap
by Haibin Xie & Qilin Qin & Shouyang Wang

2016 Is the Exchange Rate a Factor of Bank Liquidity Changes? Study of the Czech Republic
by Vlasta Kašparovská & Jana Laštůvková & Luboš Střelec

2016 CoVaR
by Tobias Adrian & Markus K. Brunnermeier

2016 Sparse Graphical Vector Autoregression: A Bayesian Approach
by Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin

2016 Systemic Tail Risk Distribution
by Alexis Bienvenüe & Christian Y. Robert

2015 Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
by Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba

2015 Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
by Rangan Gupta & Mark E. Wohar

2015 The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach
by Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei

2015 The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
by Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba

2015 Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test
by Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei

2015 Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test
by 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
by Mehmet Balcilar & Rangan Gupta & Clement Kyei

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

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

2015 A risk-adequate valuation of Brazilian companies using the example of Arezzo Indústria e Comércio S.A
by Wüstermann, Ralf Peter

2015 Shadow banking: policy challenges for central banks
by Grung Moe, Thorvald

2015 Long-Term Portfolio Investment: New Insight into Return and Risk
by A. Abramov & A. Radygin & M. Chernova.

2015 Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology
by Yanina Laumann

2015 Analysis Of Recommendations About Expected Prices Of Ibex 35 Using Fuzzy Numbers
by Ravioli, Mario & Fabregat-Aibar, Laura

2015 Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?
by Levent Bulut

2015 Predicting US bank failures with internet search volume data
by Florian Schaffner

2015 Forecaster overconfidence and market survey performance
by Deaves, Richard & Lei, Jin & Schröder, Michael

2015 Equity premium prediction: Are economic and technical indicators instable?
by Baetje, Fabian & Menkhoff, Lukas

2015 Misspecification Testing in GARCH-MIDAS Models
by Conrad, Christian & Schienle, Melanie

2015 Equity premium prediction: Are economic and technical indicators instable?
by Baetje, Fabian & Menkhoff, Lukas

2015 Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey
by Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph

2015 Unternehmensbewertung mit Monte-Carlo-Simulationen
by Schmallowsky, Katrin

2015 Forecaster overconfidence and market survey performance
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2015 Forecaster overconfidence and market survey performance
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2015 Modeling and forecasting persistent financial durations
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2015 Heteroeneous forecasters and nonlinear expectation formation in US stock market
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2015 Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen
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2015 Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung
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2015 The credit quality channel: Modeling contagion in the interbank market
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2015 Next Global Crisis: Greatest Recession in the History of Capitalism is at the Doorstep
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2015 Bivariate GARCH models for single asset returns
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2015 Rational learning for risk-averse investors by conditioning on behavioral choices
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2015 The Econometrics of Networks: A Review
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2015 Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
by Federico Maglione

2015 Market Sentiment and Paradigm Shifts
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2015 Macroeconomic Factors and Equity Premium Predictability
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2015 Global Equity Market Volatility Spillovers: A Broader Role for the United States
by Buncic, Daniel & Gisler, Katja I. M.

2015 A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
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2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Manabu Asai & Michael McAleer

2015 Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
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2015 Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral

2015 Exploiting Spillovers to forecast Crashes
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2015 A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
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2015 How Informative are the Unpredictable Components of Earnings Forecasts?
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2015 Frontiers in Time Series and Financial Econometrics: An Overview
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2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
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2015 Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?
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2015 Variance Premium and Implied Volatility in a Low-Liquidity Option Market
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2015 The importance of High Frequency Data on the Financial Markets
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2015 Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers
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2015 Central Counterparty Loss Allocation and Transmission of Financial Stress
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2015 Change Detection and the Casual Impact of the Yield Curve
by Stan Hurn & Peter C B Phillips & Shuping Shi

2015 A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion
by Sylvia Sarantopoulou-Chiourea & George Skiadopoulos

2015 Estimation and prediction of an Index of Financial Safety of Tunisia
by Matkovskyy, Roman & Bouraoui, Taoufik & Hammami, Helmi

2015 Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange
by Khan, Dr. Muhammad Irfan & Syed, Muhammad Salman

2015 Internal Sources of Financing Companies on the Basis of Static and Dynamic Indicators: Comparative Analysis
by Pavlović, Radica & Bukvić, Rajko & Gajić, Aleksandar

2015 The Legacy of the Crisis: Policy Options in a Favorable Environment
by LaGarda, Guillermo & Manzano, Osmel & Prat, Jordi

2015 Bootstrap for Value at Risk Prediction
by Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi

2015 Real oil prices and the international sign predictability of stock returns
by Pönkä, Harri

2015 Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2015 On Capturing the Spreading Dynamics over Trading Prices in the Market
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2015 Interdependence of Industrial Production Index and capital market in Croatia: VAR model
by Tomić, Bojan & Sesar, Andrijana

2015 Identifying Dependence Structure among Equities in Indian Markets using Copulas
by Grover, Vaibhav

2015 Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach
by Mamipour, Siab & Vaezi Jezeie, Fereshteh

2015 Forecasting stock market returns over multiple time horizons
by Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris

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
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2015 Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması
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2015 Financial Fraud Detection Model Based on Random Forest
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2015 Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach
by Naser, Hanan & Alaali, Fatema

2015 Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
by Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris

2015 Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
by Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul

2015 Predictability of the daily high and low of the S&P 500 index
by Jones, Clive

2015 Investor Sentiment and Irrational Speculative Bubble Model
by Hu, Zongyi & Li, Chao

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

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

2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2015 Correlated Beliefs, Returns, and Stock Market Volatility
by Joel M. David & Ina Simonovska

2015 Risk and Risk Management in the Credit Card Industry
by Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique

2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
by Harry Vander Elst

2015 Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
by Biqing Cai & Chaohua Dong & Jiti Gao

2015 Liquidity and Equity Short term fragility: Stress-tests for the European banking system
by Guillaume Arnould & Catherine Bruneau & Zhun Peng

2015 Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries
by Catherine Bruneau & Alexis Flageollet & Zhun Peng

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

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

2015 Much ado about making money:The impact of disclosure, news and rumors over the formation of security market prices over time
by Yuri Biondi & Simone Righi

2015 Complexity and Model Comparison in Agent Based Modeling of Financial Markets
by Alexandru Mandes & Peter Winker

2015 Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework
by Alexandru Mandes

2015 Securities Transactions Taxes and Financial Crises
by Benoît Carmichael & Jean Armand Gnagne & Kevin Moran

2015 Securities Transactions Taxes and Financial Crises
by Benoît Carmichael & Jean Armand Gnagne & Kevin Moran

2015 Forest planning and productivity-risk trade-off through the Markowitz mean-variance model
by Antonello Lobianco & Arnaud Dragicevic & Antoine Leblois

2015 Risk Aggregation with Copula for Banking Industry
by Toshinao Yoshiba

2015 Copula-Based Factor Model for Credit Risk Analysis
by Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle

2015 Factorisable Sparse Tail Event Curves
by Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan &

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

2015 Predicting Interest Rate Volatility: Using Information on the Yield Curve
by Takamizawa, Hideyuki

2015 Financial Ratios and Prediction on Corporate Bankruptcy in the Atlantic Salmon Industry
by Misund, Bård

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

2015 Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?
by Daniel Havran & Kata Varadi

2015 Introduction of an Income Contingent Repayment Scheme for Non-Performing Mortgage Loans - Lessons from Hungary’s Case
by Edina Berlinger & György Walter

2015 Industry based equity premium forecasts
by Nuno Silva

2015 On the Forecasting of Financial Volatility Using Ultra-High Frequency Data
by António A. F. Santos

2015 The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures
by António Alberto Santos

2015 Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao

2015 Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
by Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis.

2015 Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
by Adrian, Tobias & Crump, Richard K. & Vogt, Erik

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 Bayesian Estimation of Time-Changed Default Intensity Models
by Gordy, Michael B. & Szerszen, Pawel J.

2015 Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks
by Jozef Barunik & Barbora Malinska

2015 GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation
by Roman Horváth & Boril Sopov

2015 Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio
by Catherine Bruneau & Alexis Flageollet & Zhun Peng

2015 Investment Rankings Based On Technical Analysis By Fuzzy Mcdm In Tehran Stock Exchange
by Mohsen Ghobadi, Mitra Torabi

2015 Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
by Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J.

2015 A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
by Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T.

2015 Frontiers in Time Series and Financial Econometrics
by Ling, S. & McAleer, M.J. & Tong, H.

2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Asai, M. & McAleer, M.J.

2015 Four Centuries of Return Predictability
by Golez, Benjamin & Koudijs, Peter

2015 Living in a Stochastic World and Managing Complex Risks
by Dacorogna, Michel & Kratz, Marie

2015 Moment Matching in the Present Value identity, and a New Model
by Dooruj McRambaccussing

2015 Revisiting Shiller’s excess volatility hypothesis
by Dooruj Rambaccussing

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

2015 Banking Contagion under Different Exchange Rate Regimes in CEE
by Kutasi, Gábor

2015 Ripple effects from industry defaults
by Bams, Dennis & Pisa, Magdalena & Wolff, Christian C

2015 Credit risk characteristics of US small business portfolios
by Bams, Dennis & Pisa, Magdalena & Wolff, Christian C

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

2015 Superannuation within a financial CGE model of the Australian economy
by Peter B. Dixon & James. A. Giesecke & Maureen T. Rimmer

2015 On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru
by Juan Manuel Julio-Roman

2015 Securities Transactions Taxes and Financial Crises
by Benoît Carmichael & Jean Armand Gnagne & Kevin Moran

2015 The scale of predictability
by Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi

2015 Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?
by Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE

2015 Statistical Testing of DeMark Technical Indicators on Commodity Futures
by Marco LISSANDRIN & Donnacha DALY & Didier SORNETTE

2015 Average Skewness Matters!
by Eric JONDEAU & Qunzi ZHANG

2015 Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities
by Qun ZHANG & Qunzhi ZHANG & Didier SORNETTE

2015 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG

2015 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang

2015 The Acceleration Effect and Gamma Factor in Asset Pricing
by Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE

2015 Portfolio Selection with Active Risk Monitoring
by Marc S. PAOLELLA & Pawel POLAK

2015 Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
by Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE

2015 Forward Premia in Electricity Markets: Two Caveats
by Silvester Van Koten

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

2015 Using Merton model: an empirical assessment of alternatives
by Zvika Afik & Ohad Arad & Koresh Galil

2015 Adaptive Expectations with Correction Bias: Evidence from the lab
by Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI

2015 Forecasting Financial Market Vulnerability in the U.S.: A Factor Model Approach
by Hyeongwoo Kim & Wen Shi

2015 Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui

2015 Exponential Smoothing, Long Memory and Volatility Prediction
by Tommaso Proietti

2015 International Sign Predictability of Stock Returns: The Role of the United States
by Henri Nyberg & Harri Pönkä

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

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

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

2015 A Volatility Analysis Of The Euro Currency And The Bond Market
by POPOVICI, Oana Cristina

2015 Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns
by CĂLIN, Adrian Cantemir

2015 The Multi-faceted Character of Risk in Maritime Freight Markets (Panamax) 1996-2012
by Alexandros M. Goulielmos

2015 Revisiting Empirical Linkages Between Direction Of Canadian Stock Price Index Movement And Oil Supply And Demand Stocks: Artificial Neural Networks And Support Vector Machines Approaches
by ABDERRAZAK DHAOUI & MOHAMMED AYDI & RAJA OULED AHMED BEN ALI

2015 Review Of Garch Model Applicability In View Of Some Recent Research
by KRZYSZTOF DRACHAL

2015 Análisis del efecto apalancamiento en los rendimientos del IPC mediante una Cadena de Markov Monte Carlo antes, durante y después de la crisis subprime./Analysis of the leverage effect on the IPC returns by means of a Markov Chain Monte Carlo before, during and after the subprime crisis
by Hernández Ángeles, Ignacio Francisco & López-Herrera, Francisco & Hoyos Reyes, Luis Fernando

2015 La modelización de los cambios en la longevidad de la población del País Vasco y su estimación futura
by Amaia Jone BETZUEN ÁLVAREZ & Amancio BETZUEN ZALBIDEGOITIA

2015 Conditional equity risk premia and realized variance jump risk
by Zhanglong Wang & Kent Wang & Zheyao Pan

2015 Evolution of the Main Banking Sector Risks in Romania in the Last Decade
by Dana Sisea & Emilia Stoica & Sandra Teodorescu

2015 A Different Statistic for the Management of Portfolios - the Hurst Exponent: Persistent, Antipersistent or Random Time Series?
by Ana-Maria CALOMFIR (METESCU)

2015 Financial Market Reaction To Changes In The Volatilities Of Cds Returns
by Gheorghe HURDUZEU & Radu Cristian MUSETESCU & Georgeta Madalina MEGHISAN

2015 Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index
by Mine AKSOY & Veysel ULUSOY

2015 ESTIMATING RISK ON THE CAPITAL MARKET WITH VaR METHOD
by Bogdan, Sinisa & Baresa, Suzana & Ivanovic, Zoran

2015 The Fiscal And Financial Control Reform In Romania And Turkey: A Comparative Study
by Luminiţa, IONESCU & Sami, BUHUR

2015 Financial Accessibility and Economic Growth
by Boldbaatar, Myagmarsuren & Lee, Choong Lyol

2015 Estimation of skill of Russian mutual fund managers
by Parshakov, Petr

2015 Testing the Weak-Form Market Eficiency of the Euronext Wheat
by Mihai Cristian Dinică & Erica Cristina (Balea) Dinică

2015 Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
by Maciej Kostrzewski

2015 Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
by Dana Cíchová Králová

2015 Credit Value Adjustment and Economic Motivation to Trade on PXE
by Igor Paholok

2015 Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange
by Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul

2015 Holliday Effect in Contemporary Capital Markets
by Aurora Murgea

2015 January Effect and Market Conditions: a Case of Romania
by Aurora Murgea

2015 Study Regarding The Profitability Indicators For The Romanian Companies Operating In The Tourism And Leisure Services Sector In The Period Of 2010-2013
by Droj Laurentiu & & &

2015 Financial Bubbles: Mechanisms and Diagnostics
by Sornette, Didier & Cauwels, Peter

2015 Dynamics of Cluster Structures in Stock Market Networks
by Kocheturov, A. & Batsyn, M. & Pardalos, P.

2015 Log-volatility enhanced GARCH models for single asset returns
by Tomasz Skoczylas

2015 Media Content and Stock Returns: The Predictive Power of Press
by Nicky J. Ferguson & Dennis Philip & Herbert Y. T. Lam & Jie Michael Guo

2015 Impact of Social Media on the Stock Market: Evidence from Tweets
by Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý

2015 Notes on the2015 Finance Symposium
by Alper Veli ÇAM

2015 Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera
by Eduardo Sandoval

2015 Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models
by Jun-Biao Lin

2015 Time-Varying Stock Return Predictability: The Eurozone Case
by Nuno Silva

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 Financial Engineering Versus Cancer
by Neely, Christopher J.

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

2015 The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis
by Krzysztof DRACHAL

2015 An Actual Position Benchmark for Mexican Pension Funds Performance
by Óscar V. De la Torre Torres. & Evaristo Galeana Figueroa. & Dora Aguilasocho Montoya.

2015 A Sharpe-ratio-based measure for currencies
by Javier Prado-Dominguez & Carlos Fernández-Herráiz

2015 Long-term portfolio investments: New insight into return and risk
by Abramov, Alexander & Radygin, Alexander & Chernova, Maria

2015 The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets
by Moumen, Néjia & Ben Othman, Hakim & Hussainey, Khaled

2015 Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets
by Vortelinos, Dimitrios I.

2015 Market-timing the business cycle
by Peláez, Rolando F.

2015 Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets
by Karagiannidis, Iordanis & Sykes Wilford, D.

2015 Market risk of BRIC Eurobonds in the financial crisis period
by Vortelinos, Dimitrios I. & Lakshmi, Geeta

2015 The small-cap effect in the predictability of individual stock returns
by Semenov, Andrei

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

2015 Islamic calendar anomalies: Evidence from Pakistani firm-level data
by Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine

2015 Asymmetric risk and return: Evidence from the Australian Stock Exchange
by Vo, Minh & Cohen, Michael & Boulter, Terry

2015 Cojumps in China's spot and stock index futures markets
by Wang, Hao & Yue, Mengqi & Zhao, Hua

2015 Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M.

2015 Do order imbalances predict Chinese stock returns? New evidence from intraday data
by Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim

2015 Forecasting copper futures volatility under model uncertainty
by Li, Gang & Li, Yong

2015 Intra-daily volatility spillovers in international stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2015 Does realized skewness predict the cross-section of equity returns?
by Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio

2015 The cross section of expected holding period returns and their dynamics: A present value approach
by Lyle, Matthew R. & Wang, Charles C.Y.

2015 Momentum has its moments
by Barroso, Pedro & Santa-Clara, Pedro

2015 A comparison of Expected Shortfall estimation models
by Righi, Marcelo Brutti & Ceretta, Paulo Sergio

2015 Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
by Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier

2015 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
by Dark, Jonathan

2015 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias R.

2015 Modeling interest rate volatility: A Realized GARCH approach
by Tian, Shuairu & Hamori, Shigeyuki

2015 Stock market volatility: Identifying major drivers and the nature of their impact
by Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin

2015 Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
by Gresnigt, Francine & Kole, Erik & Franses, Philip Hans

2015 Variable selection and corporate bankruptcy forecasts
by Tian, Shaonan & Yu, Yan & Guo, Hui

2015 Why do options prices predict stock returns? Evidence from analyst tipping
by Lin, Tse-Chun & Lu, Xiaolong

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

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

2015 In short supply: Short-sellers and stock returns
by Beneish, M.D. & Lee, C.M.C. & Nichols, D.C.

2015 Arbitrage opportunities and feedback trading in emissions and energy markets
by Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun

2015 A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices
by Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong

2015 Nonparametric prediction of stock returns based on yearly data: The long-term view
by Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan

2015 A tracking error approach to leveraged ETFs: Are they really that bad?
by Bansal, Vipul K. & Marshall, John F.

2015 Illiquidity and risk of commercial timberland assets in the United States
by Mei, Bin

2015 Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
by Ballestra, Luca Vincenzo & Cecere, Liliana

2015 What drives gold returns? A decision tree analysis
by Malliaris, A.G. & Malliaris, Mary

2015 A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles
by Godek, Paul E.

2015 Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators
by Wu, Shue-Jen & Lee, Wei-Ming

2015 Predicting the equity premium with the demand for gold coins and bars
by Baur, Dirk G. & Löffler, Gunter

2015 Strategic coordination in forecasting – An experimental study
by Meub, Lukas & Proeger, Till & Bizer, Kilian & Spiwoks, Markus

2015 Stochastic volatility and leverage: Application to a panel of S&P500 stocks
by Ozturk, Serda Selin & Richard, Jean-Francois

2015 A common jump factor stochastic volatility model
by Laurini, Márcio Poletti & Mauad, Roberto Baltieri

2015 US bank holding companies: Structure of activities and performance through the cycles
by Albert, Stéphane

2015 A review of the literature on methods of computing the implied cost of capital
by Echterling, F. & Eierle, B. & Ketterer, S.

2015 Can security analyst forecasts predict gold returns?
by Mihaylov, George & Cheong, Chee Seng & Zurbruegg, Ralf

2015 On the efficiency of the global gold markets
by Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan

2015 Stock return forecasting: Some new evidence
by Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar

2015 Impact of allowance submissions in European carbon emission markets
by Philip, Dennis & Shi, Yukun

2015 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
by Ziel, Florian & Steinert, Rick & Husmann, Sven

2015 A unit root model for trending time-series energy variables
by Narayan, Paresh Kumar & Liu, Ruipeng

2015 A novel hybrid method for crude oil price forecasting
by Zhang, Jin-Liang & Zhang, Yue-Jun & Zhang, Lu

2015 Expected commodity returns and pricing models
by Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S.

2015 Has oil price predicted stock returns for over a century?
by Narayan, Paresh Kumar & Gupta, Rangan

2015 Efficient modeling and forecasting of electricity spot prices
by Ziel, Florian & Steinert, Rick & Husmann, Sven

2015 A spot-forward model for electricity prices with regime shifts
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2014 Increasing Financial Audit Quality Using A New Model To Estimate Financial Performance
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2014 Financial Indicators For The Romanian Companies Between Eligibility And Bankability Of Eu Financed Projects
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2014 Aggregate Rating Model In The Tourism Industry
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2014 Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees
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2014 Modalities Of Financial Structure Analysis In Romanian Entities In The Post Crisis Era
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2014 Backtesting Value At Risk Models In The Presence Of Structural Break On The Romanian And Hungarian Stock Markets
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2014 Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012
by Eþref Savaþ BAÞÇI & Öznur SAKINÇ

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

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

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

2014 Forecasting Volatility: Evidence from the Bucharest Stock Exchange
by Erginbay UGURLU

2014 A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey
by Esref Savas BASCI & Fatih MEMIS

2014 Operational Risk Estimation Uncertainty On Environment: A Case Study, Estimacion Del Riesgo Operativo Bajo Ambiente De Incertidumbre: Estudio De Caso
by Jorge A. Restrepo M & Santiago Medina H

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 De Montecarlo
by Eduardo Sandoval & Paula Urrutia

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2014 Stock market efficiency and international shipping-market information
by Alizadeh, Amir H. & Muradoglu, Gulnur

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2014 Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
by Mesut BALLIBEY & Serpil TÜRKYILMAZ

2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
by Serpil TURKYILMAZ & Mesut BALIBEY

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

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

2014 The Influence of Data Imputation Methods on the Classification Efficiency of the Logit Model Used for Forecasting the Bankruptcy of Companies
by Dorota Ewa Grochowina

2014 Impact of the Fundamental Analysis on the Financial Decision Support Systems Efficiency
by Przemyslaw Krzysztof Juszczuk

2014 Valoración de opciones reales a través de equivalentes de certeza
by Cecilia Maya Ochoa & Julián Pareja Vasseur

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

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

2014 Testing the Adaptive Markets Hypothesis for Brazil
by Glener de Almeida Dourado & Benjamin Miranda Tabak

2014 Economic gains of realized volatility in the Brazilian stock market
by Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos

2014 RiD: A New Approach to Estimate the Insolvency Risk
by Marco Aurélio dos Santos Sanfins & Danilo Soares Monte-Mor

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

2014 International Credit Cycles: A Regional Perspective
by Mikhail Stolbov

2014 Financial Reporting In Romania And Changes In Management Structure
by Lect. Mirela Elena Nichita Ph. D

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

2014 Speculative Asset Prices
by Robert J. Shiller

2014 Two Pillars of Asset Pricing
by Eugene F. Fama

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

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

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

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

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

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

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

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

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

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

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

2013 Multifractal models in finance: Their origin, properties, and applications
by Segnon, Mawuli & Lux, Thomas

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

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

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

2013 Price Jumps on European Stock Markets
by Jan Hanousek & Ev??en Ko??enda & Jan Novotn??

2013 Price Jump Indicators: Stock Market Empirics During the Crisis
by Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda

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

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

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

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

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

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

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

2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
by Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano

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

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

2013 Economic Valuation of Liquidity Timing
by Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel

2013 Forecasting Earnings Forecasts
by Bert de Bruijn & Philip Hans Franses

2013 Predicting Covariance Matrices with Financial Conditions Indexes
by Anne Opschoor & Dick van Dijk & Michel van der Wel

2013 Ten Things you should know about the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
by Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos

2013 Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
by Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk

2013 Ten Things you should know about DCC
by Massimiliano Caporin & Michael McAleer

2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
by David Ardia & Lennart Hoogerheide

2013 Prediction Bias Correction for Dynamic Term Structure Models
by Eran Raviv

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

2013 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
by Marcin Jaskowski & Michael McAleer

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

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

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

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

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

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

2013 Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process
by Degiannakis, Stavros & Livada, Alexandra

2013 Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process
by Degiannakis, Stavros & Livada, Alexandra

2013 Modeling CAC40 Volatility Using Ultra-high Frequency Data
by Degiannakis, Stavros & Floros, Christos

2013 Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
by Degiannakis, Stavros & Floros, Christos & Dent, Pamela

2013 Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange
by FERROUHI, El Mehdi & EZZAHID, Elhadj

2013 Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors
by Degiannakis, Stavros & Livada, Alexandra

2013 What we have learnt from financial econometrics modeling?
by Dhaoui, Elwardi

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

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

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

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

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

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

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

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

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

2013 Forecasting Bankruptcy with Incomplete Information
by Xu, Xin

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

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

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

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

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

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

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

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

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

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

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

2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 Jump Processes in Exchange Rates Modeling
by Bunčák, Tomáš

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

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

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

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

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

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

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

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

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

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

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

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

2013 We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS forecasts issued by 4 648 analysts concerning 241 French firms (1997-2007), we regress the analysts' forecast accuracy on its unintentional determinants. We then decompose the fixed effect of the regression and we use the firm-analyst pair effect as a measure of the intensity of the firm-analyst relationship. We find that a low (high) firm-analyst pair effect is associated with a low (high) forecast error. This observation suggests that pessimism and optimism result from the analysts' concern for cultivating their relationship with the firm's management
by Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton

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

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

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

2013 From IMU to TASI: an estimate for Tuscany
by Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo

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

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

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

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

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

2013 Day trading returns across volatility states
by Lundström, Christian

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

2013 Equity Premia Predictability in the EuroZone
by Nuno Silva

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

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

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

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

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

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

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

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

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

2013 The Limits of Granularity Adjustments
by Jean-David Fermanian

2013 The Limits of Granularity Adjustments
by Jean-David Fermanian

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

2013 Ensemble predictions of recovery rates
by Joao A. Bastos

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

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

2013 Financial Signaling and Earnings Forecasts
by Iuliia Brushko

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2013 What Drives Stock Exchange Integration?
by Ekaterina Dorodnykh

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

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

2013 Estimation of Alpha in Defined Benefit Pension Funds with a t-Student O-GARCH Matrix : a test in pensiones civiles del Estado de Michoacán
by Torre Torres, Oscar V. de la

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2013 Presidential Elections And Stock Returns In Egypt
by Yvan Nezerwe

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2013 Perpetual learning and stock return predictability
by Zhu, Xiaoneng

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2013 Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market
by Alex Sandro Monteiro de Moraes & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle

2013 Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
by João Frois Caldeira & Gulherme Valle Moura

2013 Alternative Models Of Financing Regional Development
by Cristina, GRADEA

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2012 Forecasting Interest Rates with Shifting Endpoints
by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright

2012 What drives the Quotes of Earnings Forecasters?
by Bert de Bruijn & Philip Hans Franses

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

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

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

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

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

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

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

2012 Average Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2012 Continuous-Time Linear Models
by John H. Cochrane

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

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

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

2012 Prévoir sans persistance
by Christophe Boucher & Bertrand Maillet

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2012 Calendar Anomalies and Arbitrage
by William T Ziemba

2012 Market Practice in Financial Modelling
by Chia Chiang Tan

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

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

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

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

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

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

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

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

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

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

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

2012 Techniques and Simulation Models in Risk Management
by Mirela GHEORGHE

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

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

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

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

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

2012 Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction
by Frolova, Elvina & Fantazzini, Dean

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

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

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

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

2012 Indexy finančního stresu pro Českou republiku a Maďarsko
by Milan Šimáček

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

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

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

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

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

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

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

2012 Usage Of Acb-Minind Software In The Cba Analysis For Financing Investment Projects Through European Funding In Correlation With The Financing From The Banking System
by Droj Laurentiu & Droj Gabriela

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

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

2012 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
by Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez

2012 Why Do Banks Default When Asset Quality Is High?
by Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen

2012 A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio
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2012 Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model
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2012 A Comparison Of Gradient Estimation Techniques For European Call Options
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2012 Intelligent Financial Forecasting, The key for a Successful Management
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2012 Independent Spike Models: Estimation and Validation
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2012 International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
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2012 An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
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2012 En busca de un buen marco de referencia predictivo para la inflación en Chile
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2012 Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss
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2012 U.S. industry-level returns and oil prices
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2012 The term structure of inflation expectations
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2012 Global, local, and contagious investor sentiment
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2012 ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
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2012 Heterogeneous gain learning and the dynamics of asset prices
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2012 Are corporate bond market returns predictable?
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2012 Granularity adjustment for mark-to-market credit risk models
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2012 Combining equilibrium, resampling, and analyst’s views in portfolio optimization
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2012 Pitfalls in VAR based return decompositions: A clarification
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2012 Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis
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2012 Accruals quality and analyst coverage
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2012 Performance of technical analysis in growth and small cap segments of the US equity market
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2012 Estimating the cost of capital with basis assets
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2012 Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
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2012 Do return prediction models add economic value?
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2012 14-Week quarters
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2012 An intertemporal capital asset pricing model with heterogeneous expectations
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2012 The role of data limitations, seasonality and frequency in asset pricing models
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2012 Gram–Charlier densities: Maximum likelihood versus the method of moments
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2012 The carry trade and fundamentals: Nothing to fear but FEER itself
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2012 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
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2012 Spatial modeling of stock market comovements
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2012 Measuring economic uncertainty and its impact on the stock market
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2012 Google Internet search activity and volatility prediction in the market for foreign currency
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2012 Wealth dynamics and a bias toward momentum trading
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2012 Properties of range-based volatility estimators
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2012 Forecasting spot price volatility using the short-term forward curve
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2012 Model based Monte Carlo pricing of energy and temperature Quanto options
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2012 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
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2012 Fractal market time
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2012 Short-term predictability of equity returns along two style dimensions
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2012 Smooth transition patterns in the realized stock–bond correlation
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2012 Emerging market sovereign bond spreads: Estimation and back-testing
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2012 Econometric analysis of present value models when the discount factor is near one
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2012 The conditional autoregressive Wishart model for multivariate stock market volatility
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2012 Stock index return forecasting: The information of the constituents
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2012 Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model
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2012 Estimation of an agent-based model of investor sentiment formation in financial markets
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2012 Improving the value at risk forecasts: Theory and evidence from the financial crisis
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2012 The market impact of a limit order
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2012 Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall
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2012 The Extreme Value Theory and Copulas as a Tool to Measure Market Risk
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2012 Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas
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2012 Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial
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2012 Technical analysis of stock prices using Elliot wave theory and Fibonacci number
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2012 Prévoir sans persistance
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2012 A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
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2012 The Analysis Of The Relation Between Investor Risk Appetite And Stock Market Crises In Istanbul Stock Exchange
by Erdinç ALTAY & Burcay YASAR AKCALI

2012 Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model
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2012 Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment
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2012 Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks
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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
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2012 Fair Value Measurements and Earnings Forecasts Accuracy: Evidence for Romanian Listed Companies
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2012 The Implications Of Liquidity Crises In The Context Of Emerging Capital Market
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2012 Predicting The Exchange Rate Eur-Leu With Svm
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2012 A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam
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2011 Portfolio optimization using forward-looking information
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2011 Estimation of the Cost of Equity by Considering the Interdependences between Capital Markets
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2011 Asset Pricing Puzzle: The Long-Run Risks Model's Approach
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2011 Liability Index Fund: The Liability Beta Portfolio
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2011 Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
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2011 Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen
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2011 Pricing of temperature-based weather options for Turkey
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2011 Türkiye’de banka başarısızlıklarının tahmini üzerine bir uygulama
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2011 Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system
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2011 Fuzzy uncertainty in the heston stochastic volatility model
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2011 Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis
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2011 Multi-period credit default prediction with time-varying covariates
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2011 Can Internet search queries help to predict stock market volatility?
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2011 Fighting the Financial Crisis with Alternative Forms of Energy in the Household Economics
by Kyritsis, Kostas & Chytis, Evangelos & Karamanis, Kostas

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2011 Forecasting Volatility with Copula-Based Time Series Models
by Oleg Sokolinskiy & Dick van Dijk

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2011 CoVaR
by Tobias Adrian & Markus K. Brunnermeier

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

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

2011 The Recovery Theorem
by Stephen A. Ross

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2011 Was 2008 Crisis Predictable in Korea?: A Signal Approach
by Park, Won-Am

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

2011 Información y entropía en economía
by Álvaro Montenegro

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

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

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

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

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

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

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

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

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

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

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

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

2011 Capacidad predictiva de los modelos ARCH: una aplicación para los rendimientosdel índice de precios y cotizaciones de la Bolsa Mexicana de Valores
by Hernández-Mejía, Sergio

2011 Context Sensitivity With Neural Networks In Financial Decision Processes
by Charles Wong & Massimiliano Versace

2011 Forecasting Forex Volatility In Turbulent Times
by Rajesh Mohnot

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

2011 An Award for Calling the Crash
by Mason Gaffney

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

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

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

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

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

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

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

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

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

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

2011 Short-Run Asset Selection using a Logistic Model
by Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela

2011 Intraday volatility forecasting: analysis of alternative distributions
by Paulo Sérgio Ceretta & Fernanda Galvão de Barba & Kelmara Mendes Vieira & Fernando Casarin

2011 Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
by José Renato Haas Ornelas & Marcelo Yoshio Takami

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

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

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

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

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

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

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

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

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

2010 The future of financial risk management
by Tapiero, Charles

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

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

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

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

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

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

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

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

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

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

2010 Price and Transaction Volume in the Dutch Housing Market
by Erik R. de Wit & Peter Englund & Marc Francke

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2010 Monetary Policy in the Crisis Period
by Pavel Trunin

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

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

2010 GFC-Robust Risk Management Strategies under the Basel Accord
by McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T.

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

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

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

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

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

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

2010 Exponential conditional volatility models
by Harvey, Andrew

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

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

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

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

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

2010 Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic
by Tomas Havranek & Roman Horvath & Jakub Mateju

2010 Predicting bank loan recovery rates with neural networks
by Joao A. Bastos

2010 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
by Jeffrey SATINOVER & Didier SORNETTE

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

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

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

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

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

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

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

2010 Exponential Conditional Volatility Models
by Harvey, A.

2010 On the Difficulty of Measuring Forecasting Skill in Financial Markets
by Satchell, S. & Williams, O.J.

2010 Social Welfare Issues of Financial Literacy
by Satchell, S. & Williams, O.J.

2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
by Luca RICCETTI

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

2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter R. Hansen & Asger Lunde & Valeri Voev

2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
by Bent Jesper Christensen & Paolo Santucci de Magistris

2010 A Comprehensive Look at Financial Volatility Prediction by Economic Variables
by Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf

2010 Predictable return distributions
by Thomas Q. Pedersen

2010 Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
by Leonidas Tsiaras

2010 Smooth Transition Patterns in the Realized Stock Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen

2010 Pitfalls in VAR based return decompositions: A clarification
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard

2010 The Problem Of Money Illusion In Economics
by Georg ERBER

2010 Bubbles And Crashes In Finance: A Phase Transition From Random To Deterministic Behaviour In Prices
by John FRY

2010 Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models
by Francesco GUIDI

2010 Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model
by Albulescu, Claudiu Tiberiu

2010 Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
by Jacek Osiewalski & Anna Pajor

2010 Forecasting the Polish Zloty with Non-Linear Models
by Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch

2010 State-Run Investment Funds: Major Institutional Investors on Global Financial Markets
by Petr Sedláček

2010 A Comparative Analysis of the Options trading on the Romanian Capital Market and Central and Eastern Europe Emerging Capital Markets during the Global Financial Crisis
by Ghita-Mitrescu Silvia & Duhnea Cristina & Vancea Diane Paula Corina

2010 Evolution and Perspectives of the Romanian Economy Related to the Economic and Financial Crisis
by Epure Danut Tiberius & Cusu Dorinela & Nancu Dumitru

2010 Banking Problems In A.D. Xenopol'S Work
by Stefanescu Florica

2010 Financial Problems In A.D. Xenopol’S Work
by STEFANESCU FLORICA

2010 Chaos Or Turbulence On The Volatility Of Public Revenues
by Bolos Marcel & Mosteanu Tatiana & Popovici Ioana

2010 Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?
by Jesús Crespo Cuaresma & Tomáš Slacík

2010 The Influence of the Monetary Policy on the Investment Polilcy of the Firm
by Iuliana Predescu & Mihai Aristotel Ungureanu & Stela Aurelia Toader & Antoniu Predescu

2010 Predicting Future Earnings Growth: A Test Of The Dividend Payout Ratio In The Australian Market
by Anthony Flint & Andrew Tan & Gary Tian

2010 A Dynamic Financial Ratio Adjustment Model
by Yating Yang & H.W. Chuang

2010 Would You Follow MM or a Profitable Trading Strategy?
by Brian Baturevich, Gulnur Muradoglu

2010 Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi
by Turhan KORKMAZ & Ümit BASARAN & Emrah Ismail CEVIK

2010 Finansal Kararlarin Verilmesinde Promethee Siralama Yöntemi
by Göktug Cenk AKKAYA & Erhan DEMIRELI

2010 The Need to Adapt to New Financial Accounting Technologies Information in the Context of Global Economic Crisis
by Enrique BONSON-PONTE & Ioan ANDONE & Adrian LUPASC & Ioana LUPASC

2010 Como Entender Los Estandares Internacionales De Informaciòn Financiera
by Helio Fabio Ramirez Echeverry & Luis eduardo Suarez Balaguera

2010 Las microfinanzas; ¿soluciòn para la financiaciòn de las mipymes y de las empresas de base universitaria?
by Mario Ceballos

2010 Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV
by Jaime Enrique Arrieta Bechara & Juan Camilo Torres Cruz & Hermilson Velásquez Ceballos

2010 Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey
by Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso

2010 Time Series Properties of Quarterly Earnings of Brazilian Open Companies
by Thiago Rocha Fabris & Newton Carneiro Affonso da Costa Jr.

2010 Preventive Detection of Economic Problems by means of Neuron Networks
by Stanimir Kabaivanov

2010 Possibilities to Study the Market Trend Fluctuations by Means of Indicators for Technical Analysis
by Marin Marinov

2010 Forecast of the Economic- Financial Performance Based on Diagnostic Analysis
by Daniela Cristina Solomon & Simona Elena Dragomirescu

2010 The Discriminant Analysis: an Exploratory Study Concerning the Degree of Financial Autonomy of Companies in the Context of the Romanian Business Environment
by Marilena Mironiuc & Mihaela-Alina Robu & Ioan-Bogdan Robu

2010 Efficient Yield Curve Estimation and Forecasting in Brazil
by Ricardo Azevedo Araujo & Guilherme V. Moura & Marcelo S. Portugal

2010 Linking Money Supply With The Gross Domestic Product In Romania
by Daniela Zapodeanu & Mihail Ioan Cociuba

2010 Accounting Knowledge: Decision Support In Forestry
by Ph.D Student Postolache (Males) Daniela

2010 Commercial Negotiations Optimization Under Competitiveness Increasing Within The Knowledge Based Economy
by Ph.D. candidate Iamandi Gheorghe Bucur

2010 Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility
by Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO

2009 Forecasting Yield Curves Using Analyst's Views
by Leonardo Nogueira

2009 What Ties Return Volatilities to Price Valuations and Fundamentals?
by Alexander David & Pietro Veronesi

2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel

2009 Higher-order beliefs among professional stock market forecasters: some first empirical tests
by Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas

2009 Mass psychology in action: identification of social interaction effects in the German stock market
by Lux, Thomas

2009 Fiscal stimulus and the promise of future spending cuts: A comment
by Wieland, Volker

2009 The market impact of a limit order
by Hautsch, Nikolaus & Huang, Ruihong

2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
by Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral

2009 The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
by Michael McAleer

2009 A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

2009 Modelling Realized Covariances
by Xin Jin & John M Maheu

2009 Coexistence and Dynamics of Overconfidence and Strategic Incentives
by Bosquet, K. & de Goeij, P. C. & Smedts, K.

2009 Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
by Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek

2009 Hedge funds strategies -are they consistent?
by Ribeiro, Mafalda & Santos, C. Machado

2009 Testing for periodically collapsing rational speculative bubbles in US REITs
by Keith Anderson & Chris Brooks & Sotiris Tsolacos

2009 On the economic benefit of utility based estimation of a volatility model
by Adam Clements & Annastiina Silvennoinen

2009 Economic crisis, its prospects and challenges for economic theory
by Slavica Manic

2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
by Òscar Jordà & Alan M. Taylor

2009 The stock market and aggregate employment
by Long Chen & Lu Zhang

2009 Inflation and the Stock Market:Understanding the "Fed Model"
by Geert Bekaert & Eric Engstrom

2009 The Superiority of Time-Varying Hedge Ratios in Turkish Futures
by Onur Olgun & Ý. Hakan Yetkiner

2009 The Validity of Models on the Information Content of Trades
by Leif Brandes & Egon Franck & Erwin Verbeek

2009 Forecasting Romanian Financial System Stability using a Stochastic Simulation Model
by Claudiu Tiberiu Albulescu

2009 Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter

2009 On economic evaluation of directional forecasts
by Oliver Blaskowitz & Helmut Herwartz

2009 The Market Impact of a Limit Order
by Nikolaus Hautsch & Ruihong Huang

2009 Combination of multivariate volatility forecasts
by Alessandra Amendola & Giuseppe Storti

2009 Localized Realized Volatility Modelling
by Ying Chen & Wolfgang Härdle & Uta Pigorsch

2009 Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes
by Lillie Lam & Laurence Fung & Ip-wing Yu

2009 On risk prediction
by Lönnbark, Carl

2009 Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector
by Andrea Bastianin

2009 It Pays to Violate: How Effective are the Basel Accord Penalties?
by da Veiga, B. & Chan, F. & McAleer, M.J.

2009 Forecasting Realized Volatility with Linear and Nonlinear Models
by McAleer, M.J. & Medeiros, M.C.

2009 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
by Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J.

2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
by McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T.

2009 Forecasting volatility and spillovers in crude oil spot, forward and future markets
by Chang, C-L. & McAleer, M.J. & Tansuchat, R.

2009 Modelling conditional correlations for risk diversification in crude oil markets
by Chang, C-L. & McAleer, M.J. & Tansuchat, R.

2009 Predicting Betas: Two new methods
by Esteban González, María Victoria & Tusell Palmer, Fernando Jorge

2009 Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
by Daniel Preve & Anders Eriksson & Jun Yu

2009 Volatility under Bounded Rationality
by Nhat Le

2009 Automated financial multi-path GETS modelling
by Escribano, Álvaro & Sucarrat, Genaro

2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
by Thorsten Lehnert & Bart Frijns & Remco Zwinkels

2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
by Jordà, Òscar & Taylor, Alan M.

2009 Testing Asymmetric-Information Asset Pricing Models
by Kelly, Bryan & Ljungqvist, Alexander P.

2009 Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR
by Catherine Fayad & Roberto Fortich & Ignacio Velez-Pareja

2009 Forecasting bank loans loss-given-default
by Joao A. Bastos

2009 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
by Li LIN & Ruo En REN & Didier SORNETTE

2009 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
by Camilo SERRANO & Martin HOESLI

2009 Bayesian Extreme Value Mixture Modelling for Estimating VaR
by Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley

2009 Extreme Value GARCH modelling with Bayesian Inference
by Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao

2009 An alternative methodological approach to assess the predictive performance of the moving average trading rule in financial markets: application to the london stock exchange
by Alexandros E. Milionis & Evangelia Papanagiotou

2009 Financial Analysis, Planning and Forecasting:Theory and Application
by Alice C Lee & John C Lee & Cheng F Lee

2009 Econometric Analysis of Financial Data in Risk Management
by Fantazzini , Dean

2009 Credit Risk Management (Cont.)
by Fantazzini , Dean

2009 Methodological Approaches In Realizing And Applying Cost-Benefit Analysis For The Investment Projects
by Munteanu Valentin & Pantea Marius & Pelin Andrei & Gligor Delia

2009 The Effect of Macroeconomic Factors on Indian Share Prices: A Sectoral Approach
by Guntur Anjana Raju & Harip Khanapuri

2009 Forecasting The Exchange Rate Series With Ann: The Case Of Turkey
by Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag

2009 Do the Chinese Bourses (Stock Markets) Predict Economic Growth?
by Jeffrey E. Jarrett & Xia Pan & Shaw Chen

2009 Exchange Rate And Its Impact On Foreign Economic Activity
by Boris KHOLOD & Alexei ZADOIA

2009 Sermaye Yapisini Etkileyen Firmaya Ozgu Faktorlerin Analizi: IMKB Hizmet Firmalari Uzerine Bir Uygulama
by Dilek Demirhan

2009 Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var
by CATHERINE FAYAD HERNÁNDEZ & ROBERTO CARLOS FORTICH MESA & IGNACIO VÉLEZ - PAREJA

2009 ¿Qué Tan Buenos Son Los Patrones Del Igbc Para Predecir Su Comportamiento?
by JULIO CÉSAR ALONSO & JUAN CARLOS GARCÍA

2009 Long Term Financing Decision at the Level of Companies
by Dobrota Gabriela & Chirculescu Maria Felicia

2009 Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market
by Pedro Gabriel Boainain & Pedro L. Valls Pereira

2009 Macro stress tests and crises: what can we learn?
by Rodrigo Alfaro & Mathias Drehmann

2009 Volatility Spillover Effect from Volatility Implied Index to Emerging Markets
by Turhan Korkmaz & Emrah Ismail Çevik

2009 Hedge fund and market risk: new concepts and models, beyond VaR
by Maria Debora Braga

2009 Testing The Efficiency Market Hypothesis For The Romanian Stock Market
by Bogdan Dima & Laura Raisa Milos

2009 Impact Of Financial Crisis On Developing Countries
by Ph.D Luminita Horhota, & Ph.D Cristina Nicoleta Matei

2009 The financial information's vulnerability
by Horia CRISTEA

2008 Term Structure Of Interest Rates Analysis In The Spanish Market
by Barberà Mariné, M.G. & Garbajosa Cabello, M.J. & Guercio, M.B.

2008 Technical Analysis and Nonlinear Dynamics
by Salazar Soares, Vasco

2008 Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
by Miguel A. Ferreira & Pedro Santa-Clara

2008 A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius

2008 Testing directional forecast value in the presence of serial correlation
by Oliver Blaskowitz & Helmut Herwartz

2008 Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia
by Söderberg, Jonas

2008 Contagion as Domino Effect in Global Stock Markets
by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C.

2008 A decision rule to minimize daily capital charges in forecasting value-at-risk
by McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T.

2008 The ten commandments for optimizing value-at-risk and daily capital charges
by McAleer, M.J.

2008 Financial Market Integration Under EMU
by Jappelli, Tullio & Pagano, Marco

2008 Can research committees add value for investors. An analysis of Lehman Brothers Ten Uncommon Values recommendations
by Groysberg, Boris & Healy, Paul & Gui, Yang

2008 Credit Risk Management
by Fantazzini, Dean

2008 An Econometric Analysis of Financial Data in Risk Management
by Fantazzini, Dean

2008 Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates
by Gabriel Bobeica & Elena Bojesteanu

2008 Cost-Benefit Analysis – Economic Tool Used to Aid Decision-Making Regarding the Distribution of Public Funds
by Lucian Buse & Marian Siminica & Daniel Circiumaru

2008 CAMELS Rating System and Forecasting the Financial Failure in the Turkish Commercial Banking Sector
by Murat Çinko & Emin Avci

2008 Methodologic Elements Necessary In Making Forecasts For Regional
by Timerman Dumitru & Deju Mihai

2008 Tax competition – areas of display and efects
by Mitu Narcis Eduard

2008 The foreign direct investments in Romania – contradictories trends
by Ana POPA

2008 Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach
by Lumengo Bonga-Bonga

2007 THE VALUE OF e-CUSTOMER SATISFACTION TO INTERNET COMPANIES
by Lozano, Carmen & Martínez, Soledad & Fuentes, Federico

2007 Extending The Roughness Of The Data Via Transitive Closures Of Similarity Indexes
by Bertran, F.X. & Clara, N. & Ferrer, J.C.

2007 The Use Of Subtle Sets To Studying The Life’S Quality
by Stoica, Marcel Dragos

2007 Unification Point In Methods For The Selection Of Financial Products
by Merigó Lindahl, J.M. & Gil Lafuente, A.M.

2007 Qualitative Answering Surveys And Soft Computing
by Morillas, Antonio & Díaz, Bárbara

2007 Planning Business Activity Under Uncertainty
by Kuznetsov, Leonid A. & Morozov, Andrew S.

2007 Predictive gains from forecast combinations using time-varying model weights
by Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M.

2007 Financial Variables as Predictors of Real Output Growth
by Anthony S. Tay

2007 Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Investment Risk
by Stikhova , Olga

2007 Understanding and measuring liquidity risk
by Andrea Resti & Andrea Sironi

2007 Recent Evolutions On Romanian Capital Market
by Sorin Tudor & Daniela Danciulescu

2007 Foreign Direct Investment In Romania - Recent Trends
by Laura Giurca Vasilescu

2006 A Fuzzy Decision Support System To Identify Establishments With Low Paid Employees In The British Economy
by Malcolm J. Beynon & Keith Whitfield

2006 Fuzzy Logic Approach To Identification And Forecasting Of Financial Time Series Using Elliott Wave Theory
by Andriy Matviychuk

2006 Evaluation Of Iris Ratios Using ?-Cuts
by Lazzari, Luisa L. & Fernández, María José

2006 A Comparison Of K-Means And Fuzzy C-Means Using Background Knowledge
by Goddard, J. & de los Cobos Silva, S.G. & Gutiérrez Andrade, M.A.

2006 Economic Principle On Fuzzy Profit By Weighted Average Value
by Facchinetti, Gisella & Pacchiarotti, Nicoletta

2006 Evaluating The Total Costs Of Purchasing Via Probabilistic And Fuzzy Reasoning
by Costantino, N. & Dotoli, M. & Falagario, M. & Fanti, M. P. & Iacobellis, G.

2006 Modeling Imprecision And Subjectiveness For The Multiattribute Decisions
by Luban, Florica

2006 A Fuzzy Set Approach To Poverty Measurement
by Caramuta, Diego M. & Contiggiani, Federico

2006 Credit Card Application Assessment Using A Neuro-Fuzzy Classification System
by Kitsios, E. & Doumpos, M. & Zopounidis, C.

2006 Intellectual Support Of Small Firms’ Management
by Kuznetsov, Leonid A.

2006 Time series forecasting by principal covariate regression
by Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C.

2006 Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre
by Hernán Herrera Echeverry

2006 Evolutia Comertului International Si Cresterea Economica. Teorii Ale Comertului International
by Ciurez Ecaterina Nicoleta

2006 Modern Indicators Of Measuring A Firm’S Competitivity
by Laura Giurca Vasilescu & Daniela Danciulescu

2006 Assessment Of The Exchange Rate Volatility In New Eu Member States And Romania1
by Daniel Stavárek

2005 A Fuzzy Characterization Of Uncertainty In Financial Crises
by Pazzi, Jorge & Tohmé, Fernando

2005 New Product Ideas Screening Decision With Approximate Evaluations: Optimization Approach
by Smimou, K. & Bhatt, S. K. & Dahl, D. W

2005 Interval Weights In Ahp By Linear And Quadratic Programming
by Entani, T. & Sugihara, K. & Tanaka, H.

2005 Rbf Centers Initialization Using Fuzzy Clustering Technique For Function Approximation Problems
by Guillén, A. & Rojas, I. & González, J. & Pomares, H. & Herrera, L.J.

2005 Application Of Crisp And Fuzzy Goal Programming Models For Optimization Of Cropping Pattern In Haraz Sub-Basin In Iran
by Asadpour, H. & Khalilian, S. & Peykani Gh. R.

2005 Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
by Xekalaki, Evdokia & Degiannakis, Stavros

2005 Global monetary instability: The role of the IMF, the EU and NAFTA
by A. G. Malliaris

2005 Equity And Oil Markets Under External Shocks
by Jorge Urrutia & A. G. Malliaris

2005 Oil And World Stock Markets' Reaction To The Gulf Crisis
by A. G. Malliaris & Jorge L. Urrutia

2005 The Impact Of The Persian Gulf Crisis On National Equity Markets
by A. G. Malliaris & Jorge L. Urrutia

2005 The International Crash of October 1987: Causality Tests
by A. G. Malliaris & Jorge L. Urrutia

2005 Monetary Policy And The U.S. Stock Market
by MARC D. HAYFORD & A. G. MALLIARIS

2005 How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
by M. D. Hayford & A. G. Malliaris

2005 Is The Federal Reserve Stock Market Bubble-Neutral?
by Marc D. Hayford & A. G. Malliaris

2005 Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test
by Ramaprasad Bhar & A. G. Malliaris

2005 Multi-Fractality in Foreign Currency Markets
by Marco Corazza & A. G. Malliaris

2005 European Stock Market Fluctuations: Short And Long Term Links
by A. G. Malliaris & Jorge L. Urrutia

2005 Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions
by George C. Philippatos & Efi Pilarinu & A. G. Malliaris

2005 Methodological issues in asset pricing: Random walk or chaotic dynamics
by A. G. Malliaris & Jerome L. Stein

2005 Money, inflation and interest rates: Illustrations from twelve European economies
by A. G. Malliaris & Silvana Stefani

2005 Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975
by A. G. MALLIARIS

2005 Decomposition of Inflation and its Volatility: A Stochastic Approach
by A. G. MALLIARIS & MARY E. MALLIARIS

2005 Interest rates and inflation: A continuous time stochastic approach
by A. G. Malliaris & Walter F. Mullady & M. E. Malliaris

2005 An empirical investigation among real, monetary and financial variables
by A. G. Malliaris & Jorge L. Urrutia

2005 How big is the random walk in macroeconomic time series: Variance ratio tests
by A. G. Malliaris & Jorge L. Urrutia

2005 Asymptotic Growth under Uncertainty: Existence and Uniqueness
by FWU-RANQ CHANG & A. G. MALLIARIS

2004 The informational role of financial analysts: Interpreting public disclosures
by Byard, Donal & Shaw, Kenneth

2003 Predicting Customer Lifetime Value in Multi-Service Industries
by Donkers, A.C.D. & Verhoef, P.C. & de Jong, M.G.

2002 Effectiveness Of System Identification For Complex Systems By The Fuzzy Adaptive Gmdh
by Tomonori Nishikawa & Shizue Shimizu & Masafumi Imai

2002 Behavioristic Analysis And Comparative Evaluation Of Intelligent Methodologies For Short-Term Stock Price Forecasting
by Koulouriotis, D.E. & Emiris, D.M. & Diakoulakis, I.E. & Zopounidis, C.

2002 Artificial Intelligent Based Time Series Forecasting Of Stock Prices Using Digital Filters
by Sfetsos, A. & Siriopoulos, C.

2002 Un essai de prévision non paramétrique de l'action France Télécom
by Chikhi, Mohamed & Terraza, Michel

2001 Debt: A Factor Of Both "Good" And "Bad" Stress During An Economic Recession: Evidence From France
by Levasseur, Michel & Bodt, Eric De & Severin, Eric

2001 Credit Derivatives in Managing Off Balance Sheet Risks by Banks
by Cakir, Murat

2000 Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates
by Francis, J & Olsson, P & Oswald, DR

2000 Do stock prices fully reflect the implications of current earnings for future earnings for AR1 firms?
by Brown, LD & Han, JCY

1999 On the theory of forecast horizon in equity valuation
by Ohlson, JA & Zhang, XJ

1999 Analysts' reactions to warnings of negative earnings surprises
by Libby, R & Tan, HT

1999 Controlling for lagged stock price responses in pricing regressions: An application to the pricing of cash flows and accruals
by Pfeiffer, RJ & Elgers, PT

1998 Customer satisfaction and future financial performance discussion of are nonfinancial measures leading indicators of financial performance? Are analysis of customer satisfaction
by Lambert, RA

1998 Are nonfinancial measures leading indicators of financial performance? An analysis of customer satisfaction
by Ittner, CD & Larcker, DF

1998 Correlated forecast errors
by Fischer, PE & Verrecchia, RE

1997 Discussion of self-selection and analyst coverage
by Francis, J

1997 Self-selection and analyst coverage
by McNichols, M & O'Brien, PC

1997 Discussion of do security analysts improve their performance with experience?
by Jacob, J

1997 Do security analysts improve their performance with experience?
by Mikhail, MB & Walther, BR & Willis, RH

1997 The relative informativeness of analysts' stock recommendations and earnings forecast revisions
by Francis, J & Soffer, L

1997 Investor sophistication and market earnings expectations
by Walther, BR

1997 An experimental examination of the effects of forecast bias on individuals' use of forecasted information
by Ackert, LF & Church, BK & Shehata, M

1996 The relevance of characteristics of the information environment in the selection of a proxy for the market's expectations for earnings: An extension of Brown, Richardson, and Schwager [1987]
by Wiedman, CI

1996 Errors in accounting estimates and their relation to audit firm type
by Petroni, K & Beasley, M

1994 Reductions In Analysts Annual Earnings Forecast Errors Using Information In Prior Earnings And Security Returns
by ELGERS, PT & LO, MH

1994 The Ability Of Earnings To Predict Future Earnings And Cash Flow
by FINGER, CA

1994 Shareholder Litigation And Corporate Disclosures
by FRANCIS, J & PHILBRICK, D & SCHIPPER, K

1994 Analysts Interim Earnings Forecasts - Evidence On The Forecasting Process
by KANG, SH & OBRIEN, J & SIVARAMAKRISHNAN, K

1993 Bringing GATT into the Core
by Carsten Kowalczyk & Tomas Sjostrom

1993 A Test Of The Use Of Geographical Segment Disclosures - Discussion
by SAUDAGARAN, SM

1993 A Test Of The Use Of Geographical Segment Disclosures
by BOATSMAN, JR & BEHN, BK & PATZ, DH

1993 Analysts Decisions As Products Of A Multitask Environment
by FRANCIS, J & PHILBRICK, D

1991 Using Value Line And Ibes Analyst Forecasts In Accounting Research
by PHILBRICK, DR & RICKS, WE

1991 Timely Aggregate Analyst Forecasts As Better Proxies For Market Earnings Expectations
by BROWN, LD & KIM, KJ

1991 Management Forecasts And Statistical Prediction Model Forecasts In Corporate Budgeting
by WALKER, KB & MCCLELLAND, LA

1991 Time-Varying Stock-Price Response To Earnings Induced By Uncertainty About The Time-Series Process Of Earnings
by LANG, M

1991 Stock-Price Behavior Associated With Managers Earnings And Revenue Forecasts
by HAN, JCY & WILD, JJ

1991 Earnings As An Explanatory Variable For Returns
by EASTON, PD & HARRIS, TS

1991 Evidence On The Possible Underweighting Of Earnings-Related Information
by MENDENHALL, RR

1991 The Forecast Accuracy Of Individual Analysts - Evidence Of Systematic Optimism And Pessimism
by BUTLER, KC & LANG, LHP

1990 The Effect Of Forecast Redundancy On Judgments Of A Consensus Forecasts Expected Accuracy - Discussion
by LIPE, MG

1990 The Effect Of Forecast Redundancy On Judgments Of A Consensus Forecasts Expected Accuracy
by MAINES, LA

1990 Corporate Compliance With Debt Covenants
by FRANCIS, J

1990 Forecast Accuracy Of Individual Analysts In 9 Industries
by OBRIEN, PC

1990 The Information-Content Of Nonearnings Accounting Numbers As Earnings Predictors
by OU, JA

1989 Banks exposure to market risks
by Galy, Michel

1989 The Multiperiod Information-Content Of Accounting Earnings - Confirmation And Contradictions Of Previous Earnings Reports - Discussion
by LANDSMAN, WR

1989 The Multiperiod Information-Content Of Accounting Earnings - Confirmations And Contradictions Of Previous Earnings Reports
by FREEMAN, RN & TSE, S

1989 On The Usefulness Of Earnings And Earnings Research - Lessons And Directions From 2 Decades Of Empirical-Research - Discussion
by PATELL, JM

1989 On The Usefulness Of Earnings And Earnings Research - Lessons And Directions From 2 Decades Of Empirical-Research
by LEV, B

1989 Accounting Measurement, Price Earnings Ratios, And The Information-Content Of Security Prices - Discussion
by LARCKER, DF

1989 Accounting Measurement, Price Earnings Ratio, And The Information-Content Of Security Prices
by OU, JA & PENMAN, SH

1989 Using Shrinkage Estimators To Improve Upon Time-Series Model Proxies For The Security Markets Expectation Of Earnings
by LANDSMAN, WR & DAMODARAN, A

1987 Unsystematic Security Price Movements, Management Earnings Forecasts, And Revisions In Consensus Analyst Earnings Forecasts
by JENNINGS, R

1987 An Information Interpretation Of Financial Analyst Superiority In Forecasting Earnings
by BROWN, LD & RICHARDSON, GD & SCHWAGER, SJ

1987 The Prediction Performance Of A Structural Model Of Accounting Numbers
by WILD, JJ

1987 A 5-State Financial Distress Prediction Model
by LAU, AHL

1986 The Association Of Operating Cash Flow And Accruals With Security Returns - Discussion
by JENNINGS, R

1986 The Association Of Operating Cash Flow And Accruals With Security Returns
by RAYBURN, J

1985 Further Evidence On The Usefulness Of Simulated Mergers
by SILHAN, PA & MCKEOWN, JC

1985 Using Operating Cash Flow Data To Predict Financial Distress - Some Extensions
by CASEY, C & BARTCZAK, N

1984 A Generalized Distributed Lag Model For Predicting Quarterly Earnings
by WELCH, PR

1984 Forecasts, Auditor Review, And Bank Loan Decisions
by JOHNSON, DA & PANY, K

1984 Adaptive Estimation - An Alternative To The Traditional Stationarity Assumption
by GREENBERG, R

1984 The Association Between The Magnitude Of Quarterly Earnings Forecast Errors And Risk-Adjusted Stock Returns
by HAGERMAN, RL & ZMIJEWSKI, ME & SHAH, P

1984 The Predictability Of Interim Earnings Over Alternative Quarters
by COLLINS, WA & HOPWOOD, WS & MCKEOWN, JC

1984 An Examination Of The Stationarity Of Multivariate Bankruptcy Prediction Models - A Methodological Study
by MENSAH, YM

1984 A Time-Series Analysis Of Nonseasonal Quarterly Earnings Data
by LOREK, KS & BATHKE, AW

1984 Accounting Data And The Prediction Of Business Failure - The Setting Of Priors And The Age Of Data
by HOUGHTON, KA

1984 An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns
by KROSS, W & SCHROEDER, DA

1983 Factors Affecting Auditors Evaluations Of Forecasts
by DANOS, P & IMHOFF, EA

1983 Accounting Changes And The Accuracy Of Analysts Earnings Forecasts
by BROWN, LD

1983 The Effects Of Segmenting Quarterly Sales And Margins On Extrapolative Forecasts Of Conglomerate Earnings - Extension And Replication
by SILHAN, PA

1983 Further Descriptive And Predictive Evidence On Alternative Time-Series Models For Quarterly Earnings
by LOREK, KS & ICERMAN, JD & ABDULKADER, AA

1983 Generalized Financial Ratio Adjustment Processes And Their Implications
by FRECKA, TJ & LEE, CF

1983 Overfitting Bias In The Models Assessing The Predictive Power Of Quarterly Reports
by ABDELKHALIK, AR

1983 Empirical Identification Procedures For Earnings Models
by DHARAN, BG

1983 Identification And Estimation Issues For A Causal Earnings Model
by DHARAN, BG

1983 Information Characteristics Of Earnings Announcements And Stock-Market Behavior
by PINCUS, M

1982 A Note On Alternative Tests For Independence Of Financial Time-Series
by COGGER, K & RULAND, W

1982 The Potential For Gains In Predictive Ability Through Disaggregation - Segmented Annual Earnings
by HOPWOOD, WS & NEWBOLD, P & SILHAN, PA

1982 Book Rate-Of-Return And Prediction Of Earnings Changes - An Empirical-Investigation
by FREEMAN, RN & OHLSON, JA & PENMAN, SH

1982 Analysis And Comparison Of Earnings Forecast Agents
by IMHOFF, EA & PARE, PV

1982 The Additional Information-Content Of Quarterly Earnings Reports - Intertemporal Disaggregation
by HOPWOOD, WS & MCKEOWN, JC & NEWBOLD, P

1981 The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects - Discussion
by LARCKER, DF

1981 The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects - Discussion
by ALEXANDER, MO

1981 The Sec Reversal Of Fasb Statement No-19 - An Investigation Of Information Effects
by SMITH, AJ

1981 An Evaluation Of Univariate Time-Series Earnings Models And Their Generalization To A Single Input Transfer-Function
by HOPWOOD, WS & MCKEOWN, JC

1981 A Time-Series Analytic Approach To Aggregation Issues In Accounting Data
by COGGER, KO

1981 An Empirical-Analysis Of International Accounting Principles - A Comment
by NOBES, CW

1980 A Lens Study Of The Prediction Of Corporate Failure By Bank Loan Officers
by ZIMMER, I

1980 The Usefulness Of Accounting Ratios For Subjects Predictions Of Corporate Failure - Replication And Extensions
by CASEY, CJ

1980 The Transfer-Function Relationship Between Earnings And Market-Industry Indexes - An Empirical-Study
by HOPWOOD, WS

1980 On The Automation Of The Box-Jenkins Modeling Procedures - An Algorithm With An Empirical-Test
by HOPWOOD, WS

1980 Financial Ratios And The Probabilistic Prediction Of Bankruptcy
by OHLSON, JA

1979 Empirical-Analysis Of International Accounting Principles
by FRANK, WG

1979 Adaptive Expectations, Time-Series Models, And Analyst Forecast Revision
by BROWN, LD & ROZEFF, MS

1979 Association Between Unsystematic Security Returns And The Magnitude Of Earnings Forecast Errors
by BEAVER, WH & CLARKE, R & WRIGHT, WF

1979 Predicting Annual Net Earnings With Quarterly Earnings Time-Series Models
by LOREK, KS

1979 Security Price Reactions To Long-Range Executive Earnings Forecasts
by NICHOLS, DR & TSAY, JJ

1978 Subjective-Probability Elicitation Techniques - Performance Comparison
by CHESLEY, GR

1978 Association Between Market-Determined And Accounting-Determined Risk Measures - Note
by THAKKAR, RB

1978 Effect On Predictive Ability Of Reducing Number Of Observations On A Time-Series Analysis Of Quarterly Earnings Data
by LOREK, KS & MCKEOWN, JC

1978 Expectations Data And Predictive Value Of Interim Reporting
by ABDELKHALIK, AR & ESPEJO, J

1977 Subjective-Probability Elicitation - Effect Of Congruity Of Datum And Response Mode On Performance
by CHESLEY, GR

1976 Elicitation Of Subjective Probabilities - Laboratory Study In An Accounting Context
by CHESLEY, GR

1975 Accounting Ratios And Prediction Of Failure - Some Behavioral Evidence
by LIBBY, R

1974 Comments On Budget Forecasting And Operating Performance
by LOEB, M

1974 Industry-Wide Commonalities In Earnings
by MAGEE, RP

1974 Decomposition Of Estimation Problem In Financial Accounting
by BARNEA, A & SADAN, S

1973 Prediction Of Business Failure Using Accounting Data - Comment
by WILCOX, JW

1973 Discussion Of A Prediction Of Business Failure Using Accounting Data
by BENISHAY, H & KINNEY, WR

1973 Prediction Of Business Failure Using Accounting Data
by WILCOX, JW

1973 Stock Market Reaction To Estimates Of Earnings Per Share By Company Officials
by FOSTER, G

1973 Empirical Examination Of Predictive Ability Of Alternate Sets Of Insurance Company Accounting Data
by HARMELIN.PJ

1973 Prediction And Price-Level Adjustment
by SAMUELSO.RA

1973 Predicting Near Term Profit And Loss Statement With An Econometric Model - Feasibility Study
by ELLIOTT, JW & UPHOFF, HL

1972 Discussion Of Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach
by GONEDES, NJ

1972 Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach
by OHLSON, J

1972 Discussion Of Predictive Content Of Interim Reports - Time Series Analysis
by BARNEA, A & DYCKMAN, T & MAGEE, R

1972 Predictive Content Of Interim Reports - Time Series Analysis
by COATES, R

1972 Discussion Of Predictive Ability Of Alternative Parts Of Interim Financial Statements
by KENNELLY, JW

1972 Predictive Ability Of Alternative Parts Of Interim Financial Statements
by REILLY, FK & MORGENSO.DL & WEST, M

1972 Discussion Of Analysis Of Usefulness Of Accounting Data For Portfolio Decision - Decision-Theory Approach
by OPHIR, T

1972 Discriminant Analysis Of Predictors Of Business Failure
by DEAKIN, EB

1971 Simple Theory Of Financial Ratios As Predictors Of Failure
by WILCOX, JW

1971 Some Effects Of Sequential Aggregation In Accounting On Decision-Making
by RONEN, J

1971 Predicting Earnings - Entity Versus Subentity Data
by KINNEY, WR

1970 Estimation Problem In Financial Accounting
by BRIEF, RP & OWEN, J

1970 Evaluation Of Liquidity - Analytical Study
by LEMKE, KW

1969 Comments On A Measure Of Forecasting Performance
by BAREFIELD, RM

1969 Predictive Ability Of Alternative Performance Measurement Models
by DEMSKI, JS

1969 Study Of Predictive Significance Of 2 Income Measures
by FRANK, W

1968 Study Of Importance Of Planning Horizon On Reports Utilizing Discounted Future Cash Flows
by BAILEY, AD & GRAY, J

1968 Discounted Cash Flow In Historical Perspective
by PARKER, RH

1968 Integrated Evaluation System For Budget Forecasting And Operating Performance With A Classified Budgeting Bibliography
by IJIRI, Y & KINARD, JC & PUTNEY, FB

1966 Predictive Power Of 1st-Quarter Earnings Reports - Replication - Discussion
by WELSCH, GA

1966 Predictive Power Of 1st-Quarter Earnings Reports - Replication - Discussion
by HOLTON, TL

1966 Predictive Power Of 1st-Quarter Earnings Reports - Replication
by GREEN, D & SEGALL, J

1964 Bayesian Statistics - A Review
by BIRNBERG, JG

1809 Term Structure Analysis with Big Data
by Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch

1303 Picking Funds with Confidence
by Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers

0000 Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral

Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates
by Aaron Tornell & Chunming Yuan

lCARE – localizing Conditional AutoRegressive Expectiles
by Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle &

2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors
by Francesco Guidi, Rakesh Gupta

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

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

Asymmetric Beta Comovement and Systematic Downside Risk
by Eric JONDEAU & Qunzi ZHANG

Super-Exponential Growth Expectations and the Global Financial Crisis
by Matthias LEISS & Heinrich H. NAX & Didier SORNETTE

Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland
by Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE

A Fast, Accurate Method for Value at Risk and Expected Shortfall
by Jochen KRAUSE & Marc S. PAOLELLA

Financial Bubbles: Mechanisms and Diagnostics
by Didier SORNETTE & Peter CAUWELS

Mixture Normal Conditional Correlation Models
by Maria Putintseva

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
by Valentina Corradi & Walter Distaso & Antonio Mele

A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
by Didier Sornette & Alexander I. Saichev

Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes
by Vladimir Filimonov & Didier Sornette

Follow the money: The monetary roots of bubbles and crashes
by Monique JEANBLANC & Didier SORNETTE

Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE

Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE

Multivariate Asset Return Prediction with Mixture Models
by Marc S. Paolella

Detecting Informed Trading Activities in the Options Markets
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE

Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

Investment strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou

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by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE

Predictive Power of Information Market Prices
by Maria PUTINTSEVA

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov

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Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
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Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
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Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
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Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
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