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SGH Warsaw School of Economics, Collegium of Economic Analysis

Econometric Research in Finance

Contact information of SGH Warsaw School of Economics, Collegium of Economic Analysis

Postal:

Al. Niepodleglosci 162, 02-554 Warszawa

Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: https://erfin.org/
Email:

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Serial Information

Editor: Dobromił Serwa
Editor: Dobromił Serwa

Description: The Econometric Research in Finance (ERFIN Journal) publishes empirical studies in finance and economics. The goal of ERFIN Journal is to promote modern quantitative methods (especially econometric models) and their applications in finance and economics. Some of the main subjects covered by this journal include: financial econometrics and its applications, modeling and forecasting asset prices and returns, portfolio management and trading, market microstructure, behavioral finance, financial stability, financial risk, and financial crises, empirical studies in corporate finance, accounting, financial reporting, and financial regulations, and linkages between financial institutions, financial markets, and the real economy.

Additional information is available for the following registered editor(s): Dobromil Serwa .
Series handle: RePEc:sgh:erfinj
ISSN: 2451-1935

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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dobromił Serwa (email available below). General contact details of provider: https://edirc.repec.org/data/sgwawpl.html .

Content

2022, Volume 7, Issue 2

143-169 External Debt, Domestic Debt and Inflation in Nigeria: A Multivariate Granger-Causality Test
by Akingbade U. Aimola & Nicholas M. Odhiambo

2022, Volume 7, Issue 1

1-70 The Effect of Target-Country Institutions on Cross-Border Merger and Acquisition Activity: A Quantitative Literature Survey
by Josef C. Brada & Ichiro Iwasaki
71-94 Do Capital Inflows and Financial Development, Influence Economic Growth in West Africa? Further Evidence from Transmission Mechanisms
by Anthony Orji & Jonathan E. Ogbuabor & Chiamaka F. Okolomike & Onyinye I. Anthony-Orji
95-123 How Do Stock Indices Respond to Market Shocks? Examining Stock Market Contagion in European Countries with Minimum Spanning Trees
by DÃ³ra Sallai & MercÃ©desz MÃ©szÃ¡ros & GÃ¡bor DÃ¡vid Kiss
125-142 Index Option Pricing via Nonparametric Regression
by Ka Po Kung

2021, Volume 6, Issue 2

77-117 Effect of Real Estate News Sentiments on the Stock Returns of Swedbank and SEB Bank
by Yuliia Puzanova & Mustafa Hakan Eratalay
119-137 Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
by Rayan H. Assaad & Sara Fayek
139-161 Corporate Tax Aggressiveness and Corporate Investment Expenditure in Nigeria and Ghana
by Ifeanyi Francis Osegbue & John Ogbonnia Obasi & Chitom Racheal John-Akamelu & Chizoba Mary Nwoye
163-181 Integrated Reporting and Firm Value in the Nigerian and South African Oil and Gas Sector
by Chizoba Mary Nwoye & Patrick Amaechi Egbunike & Ifeanyi Francis Osegbue
183-196 An Innovative Artificial Intelligence and Natural Language Processing Framework for Asset Price Forecasting Based on Islamic Finance: A Case Study of the Saudi Stock Market
by Klemens Katterbauer & Philippe Moschetta

2021, Volume 6, Issue 1

1-20 Does Foreign Presence Influence the Level of Firm Technical Efficiency? Evidence from Africa
by Anthony Orji & Jonathan E. Ogbuabor & Gabriel Chiangi Aza & Onyinye I. Anthony-Orji
21-44 Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries
by MercÃ©desz MÃ©szÃ¡ros & DÃ³ra Sallai & GÃ¡bor DÃ¡vid Kiss
45-56 A Probabilistic-Based Portfolio Resampling Under the Mean-Variance Criterion
by Anmar Al Wakil
57-75 Dynamic Connectivity in a Financial Network Using Time-Varying DCCA Correlation Coefficients
by Paulo Ferreira & Oussama Tilfani & Ã‰der Pereira & CleÃ³nidas Tavares & Hernane Pereira & My Youssef El Boukfaoui

December 2020, Volume 5, Issue 2

59-78 The Dynamic Linkage between Money Market, Capital Market and Economic Growth in Ghana: New Lessons Relearned
by Isaac Azubuike Ogbuji & Ekundayo Peter Mesagan & Yasiru Olorunfemi Alimi
79-102 Nutrition Intake, Health Status, Education and Economic Growth: A Causality Investigation
by Rahman Olanrewaju Raji
103-117 Forecasting the Yield Curve for Poland
by Tomasz Piotr Kostyra & Michał Rubaszek
119-142 Analysis of Tax Compliance in Sub-Saharan Africa: Evidence from Firm-Level Study
by Adamu Jibir & Musa Abdu & Tasiu Muhammad
143-157 Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy
by İsmet Göçer & Serdar Ongan

June 2020, Volume 5, Issue 1

1-15 Climatic Variations and Spatial Price Differentials of Perishable Foods in Nigeria
by Lateef Olawale Akanni
17-32 Exploring the Likelihood of a Country Being a Tax Haven Using MIMIC Models
by Paulo Mourao
33-57 Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility
by Gábor Dávid Kiss & Mercédesz Mészáros

December 2019, Volume 4, Issue 2

67-88 The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange
by Mostafa Raeisi Sarkandiz & Robabeh Bahlouli
89-109 Testing the Validity of the Triple Deficit Hypothesis for Nigeria
by Rahman Olanrewaju Raji
111-131 Testing for VECM Granger Causality and Cointegration Between Economic Growth and Renewable Energy: Evidence from MENA Net Energy Importing Countries
by Badry Hechmy
133-156 On The Accuracy of GARCH Estimation in R Packages
by Chelsey Hill & B. D. McCullough

June 2019, Volume 4, Issue 1

1-26 Does Forward Guidance Matter in Small Open Economies? Examples from Europe
by Jakub Rybacki
27-40 A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt
by Leonardo Augusto Tariffi
41-66 Adjusted Evaluation Measures for Asymmetrically Important Data
by Alex Karagrigoriou & George-Jason Siouris & Despoina Skilogianni

December 2018, Volume 3, Issue 2

79-92 The Wage Curve, Once More with Feeling: Bayesian Model Averaging of Heckit Models
by Rolando Gonzales Martinez
93-118 Corporate Governance and Efficiency of Rural and Community Banks (RCBs) in Ghana
by Eric Fosu Oteng-Abayie & Anthony Affram & Henry Kofi Mensah
119-162 Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach
by Tihana Škrinjarić

September 2018, Volume 3, Issue 1

1-26 The Effect of Central Bank Communication on the Capital Buffer of Banks: Evidence from an Emerging Economy
by Rodolfo Tomás da Fonseca Nicolay & Claudio Oliveira de Moraes & Bruno Pires Tiberto
27-53 The U.S. Shale Oil Revolution and the Behavior of Commodity Prices
by Afees Adebare Salisu & Idris A. Adediran
55-78 Determinants of Environmental Quality in Nigeria: Assessing the Role of Financial Development
by Ekundayo Peter Mesagan & Mike I. Nwachukwu

December 2017, Volume 2, Issue 2

63-77 Neural Networks in Credit Risk Classification of Companies in the Construction Sector
by Aleksandra Wójcicka
79-97 Determination of Long and Short Run Demand for Money in the West African Monetary Zone (WAMZ) Countries: A Panel Analysis
by Agya Atabani Adi & Joshua Sunday Riti
99-111 Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
by Giovanni De Luca & Giampiero M. Gallo & Danilo Carità

June 2017, Volume 2, Issue 1

1-21 Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data
by Michał Chojnowski & Piotr Dybka
23-42 Modelling Nonlinear Dynamics of Oil Futures Market
by Ayben Koy
43-62 Financial Instability and Inequality Dynamics in the WAEMU
by Thierno Thioune

December 2016, Volume 1, Issue 2

67-79 Apple, Alphabet or Microsoft: Which Is the Most Efficient Share?
by Paulo Ferreira
81-113 Market Structure, Macroeconomic Shocks, and Banking Risk in Kenya
by Nderitu Kingori
115-127 Governance and Financial Development: Evidence from the Middle East and North Africa Region
by Badry Hechmy

June 2016, Volume 1, Issue 1

1-21 Forecasting the Yield Curve With Macroeconomic Variables
by Michał Rubaszek
23-46 Determinants of Profitability of Polish Banks: The Role of Foreign Banks
by Małgorzata Pawłowska
47-65 Using Nonperforming Loan Ratios to Compute Loan Default Rates With Evidence From European Banking Sectors
by Dobromił Serwa

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