|
| Jun 30 2024 |
Kuo-Hsuan Chin and Xin-Hua Zheng |
| |
Stability of Phillips Curve: The case of Taiwan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2024 |
Ange Nsouadi and Virginie Terraza |
| |
The multi-scale analysis of dynamic transmission volatility of carbon prices |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2024 |
Geoffrey Ducournau and Daniel Melhem |
| |
Bayesian statistical inference addressed to share prices dynamics' theory |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2024 |
Costas Siriopoulos and Dionisis Philippas |
| |
Putting corona into hedge fund managers' head |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 30 2023 |
Rich Ryan |
| |
Responses of unemployment to productivity changes for a general matching technology |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 30 2023 |
Euikyu Choi , Wei Du , Orhan Kara and Marek Marciniak |
| |
Market responses to S&P exclusions: Evidence from the 2010-2019 period
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 30 2023 |
Elguellab Ali and Ezzahid Elhadj |
| |
The granularity of the manufacturing sector : insights from a developing economy |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 30 2023 |
Sinda Hadhri |
| |
How does Bitcoin react to economic discomfort? Evidence from the economic misery index |
| |
Abstract Contact Information Citation Full Text - Comment |
| |
| Jun 30 2023 |
Syed jawad hussain Shahzad , Elie Bouri and Román Ferrer |
| |
Twitter sentiment and stock return volatility of US travel and leisure firms |
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Abstract Contact Information Citation Full Text - Note |
| |
| Jun 30 2023 |
Bruna K. S. Peixoto and Roberto T Ferreira |
| |
Herd behavior and contagion effects of the COVID-19 |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 30 2023 |
Noritaka Kudoh and Hiroaki Miyamoto |
| |
Time aggregation and unemployment volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 30 2023 |
Adonias Costa Filho |
| |
Trend inflation in Brazil |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 30 2023 |
Sofiane El Ouardi |
| |
Leading indicators of sovereign defaults in middle- and low-income countries: the role of foreign exchange reserve ratios in times of pandemic. |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2023 |
Gianluca P. M. Virgilio and Pedro Hector Parco Espinoza |
| |
The impact of Intermarket Sweep Orders on volatility: an agent-based stock market model |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2023 |
Aineas Kostas Mallios |
| |
Manipulation in reported dividends: Empirical evidence from US banks |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 30 2023 |
Adilson de Oliveira , Susan Schommer and Ledson L. G. da Rosa |
| |
Oil price volatility: impacts in the Brazilian economy |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 30 2023 |
Chin Yee Gan , Lee Lee Chong and Zauwiyah Ahmad |
| |
The effects of presentation of unrealized gain or loss of equity instruments on investing decision of investors |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 30 2023 |
Romuald S Kinda and Hajer Kratou |
| |
Climatic variability, remittances and household consumption volatility In developing countries |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Dec 30 2022 |
Corey J.M. Williams |
| |
The evolution of inventory dynamics in a post-crisis economy |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 30 2022 |
Rupika Khanna and Chandan Sharma |
| |
COVID-19 and volatility in the tourism sector's stocks |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Dec 30 2022 |
Joshua Dennis Hall and Peter V. Bias |
| |
Average inflation targeting and economic volatility |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Dec 30 2022 |
Nadia Dridi and Fathi Ayachi |
| |
The determinants of EURO/TND exchange rate volatility in Tunisia |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 30 2022 |
Yuta Kurose |
| |
Bayesian GARCH modeling for return and range |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Sep 30 2022 |
Ibrahim Yagli , Ozkan Haykir and Emin Huseyin Cetenak |
| |
Herding behavior in the European banking sector during the COVID-19 outbreak: The role of short-selling restrictions |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jun 30 2022 |
Parijat Maitra |
| |
Inventories and business Cycles: The story of the last three decades |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jun 30 2022 |
Cássio R. A. Alves and Márcio P. Laurini |
| |
Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Feb 20 2022 |
Munawar Sayyad , Pat Obi and Kaushik Bhattacharjee |
| |
International equity and bond market dynamics an asymmetric error correction study of united states, india and brazil |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Feb 20 2022 |
Binh Thai Pham |
| |
Sectoral consumer price synchronization: evidence from an emerging ASEAN economy |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Dec 29 2021 |
Salem Adel Ziadat and David Gordon McMillan |
| |
Oil innovations and Gulf Cooperation Council stock market connectedness |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Sep 17 2021 |
Mateus Portelinha , Carlos Heitor Campani and Raphael Roquete |
| |
The impacts of cryptocurrencies in the performance of Brazilian stocks' portfolios |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Sep 17 2021 |
Mert Topcu , Ibrahim Yagli and Furkan Emirmahmutoglu |
| |
COVID-19 and stock market volatility: A time-varying perspective |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Sep 17 2021 |
Abdhut Deheri |
| |
The Effects of Monetary Policy on Output and Inflation in India: A Time-varying Approach |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 17 2021 |
F. Henrique Castro and Marcelo Guzella |
| |
Individual investor attention and the predictability of stock market volatility and returns |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jul 18 2021 |
Désiré Avom , Brice Kamguia and Joseph Pasky Ngameni |
| |
Does volatility hinder economic complexity? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Apr 09 2021 |
Flavio Vilela Vieira and Cleomar Gomes da Silva |
| |
What drives export performance in the BRICS countries? An ARDL investigation |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 10 2021 |
Michael Batu and Zichun Zhao |
| |
The Sun's wrath: economic effects of sunspot volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 23 2020 |
Juanjuan Zhuo and Masao Kumamoto |
| |
Stock market reactions to COVID-19 and containment policies: A panel VAR approach |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 30 2020 |
Soonho Kim |
| |
Effect of Short Selling on Market Liquidity, Price, and Volatility: A Dynamic Perspective |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Aug 08 2020 |
Vicente Rios |
| |
Does direct democracy matter for fiscal policy volatility? |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Aug 08 2020 |
Kais Tissaoui , Taha Zaghdoudi and Khaled issa Alfreahat |
| |
Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach. |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Aug 08 2020 |
Anoop S Kumar |
| |
Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jul 14 2020 |
Sena KIMM Gnangnon |
| |
Export Product Diversification and Fiscal Space Volatility in Developing Countries: Exploring the Economic Growth Volatility Channel |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 18 2020 |
Cyriac Guillaumin , Salem Boubakri and Alexandre Silanine |
| |
Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jun 07 2020 |
Jau-er Chen and Rajarshi Mitra |
| |
Demographic Shifts and Asset Returns in Japan |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| May 09 2020 |
Jessica Paule-Vianez , Raúl Gómez-Martínez and Camilo Prado-Román |
| |
Effect of Economic and Monetary Policy Uncertainty on stock markets. Evidence on return, volatility and liquidity |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 05 2020 |
Gian Paulo Soave |
| |
International Drivers of Policy Uncertainty in Emerging Economies |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jan 01 2020 |
Maxim Zagonov and Bernd Hanke |
| |
Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns. |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 16 2019 |
Abdullah Alqahtani |
| |
Does U.S. Equity market uncertainty and implied stock market volatility affect the GCC stock markets? |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Oct 13 2019 |
Amine Ben Amar |
| |
The Effectiveness of Monetary Policy Transmission in a Dual Banking System: Further Insights from TVP-VAR Model |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 30 2019 |
Cynthia Royal Tori and Scott L. Tori |
| |
Swedish krona-euro return volatility and non-traditional monetary policies |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Sep 03 2019 |
Raphaël Chiappini and Yves Jégourel |
| |
Explaining the role of commodity traders: A theoretical approach |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 16 2019 |
Alarudeen Aminu and Isiaka Akande Raifu |
| |
Dynamic Nexus between Oil Revenues and Economic Growth in Nigeria |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 15 2019 |
Bertrand Groslambert , Devraj Basu and Wan Ni Lai |
| |
Is tail risk the missing link between institutions and risk? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| May 02 2019 |
Benjamin M. Blau and Ryan J. Whitby |
| |
The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Apr 26 2019 |
Amélie Charles and Olivier Darné |
| |
Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 02 2018 |
José César Cruz Junior , Daniel H D Capitani and Rodrigo L F Silveira |
| |
The effect of Brazilian corn and soybean crop expansion on price and volatility transmission |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Oct 10 2018 |
Roman Mestre and Michel Terraza |
| |
Time-Frequency varying beta estimation -a continuous wavelets approach- |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Apr 15 2018 |
Khaled Khaled , Amel Belanes and Sandrine Kablan |
| |
The regional pricing of risk: An empirical investigation of the MENA Region |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Feb 27 2018 |
Osamah Al-Khazali , Elie Bouri and David Roubaud |
| |
The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 01 2017 |
Artem Meshcheryakov and Stoyu I Ivanov |
| |
Investor's sentiment in predicting the Effective Federal Funds Rate |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 19 2017 |
Balaji Bathmanaban , Raja Sethu Durai S and Ramachandran M |
| |
The relationship between Output Uncertainty and Economic Growth-Evidence from India |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 19 2017 |
Simeon Ebechidi and Eleanya K. Nduka |
| |
Modeling the Impact of Oil Price Shocks on Energy Sector Stock Returns: Evidence from Nigeria |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 19 2017 |
Zoundi Zakaria |
| |
Crude Oil Price Volatility and Domestic Price Responses in Developing Countries, Accounting for Asymmetry and Uncertainty |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Oct 26 2017 |
Bala A. Dahiru , Pam W. Jim and Kalu N. Nwonyuku |
| |
Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Oct 26 2017 |
Fernanda Maria Müller and Fábio M Bayer |
| |
Improved two-component tests in Beta-Skew-t-EGARCH models |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Oct 26 2017 |
Arzé Karam |
| |
The effects of intraday news flow on market liquidity, price volatility and trading activity |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 16 2017 |
Yoshiko Suzuki |
| |
Return of the Japan premium in the abenomics period |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 05 2017 |
Angelo Salton and Regis A. Ely |
| |
Uncertainty and growth: evidence of emerging and developed countries |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| May 14 2017 |
Elie Bouri , Imad Kachacha , Donald Lien and David Roubaud |
| |
Short- and long-run causality across the implied volatility of crude oil and agricultural commodities |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| May 05 2017 |
Nidhal Mgadmi and Khemaies Bougatef |
| |
Modeling volatility of the French stock market |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Feb 26 2017 |
Tomomi Miyazaki and Haruo Kondoh |
| |
Local Public Investment and Regional Business Cycle Fluctuations in Japan |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Feb 22 2017 |
Benjamín Vallejo Jiménez and Francisco Venegas Martínez |
| |
Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with multiple Poisson jumps |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 10 2016 |
Valeriya V. Lakshina and Andrey M. Silaev |
| |
Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts? |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 28 2016 |
Khaled Guesmi , Nabila BOUKEF JLASSI , Ahmed Atil and Imen Haouet |
| |
On the Influence of Oil Prices on Financial Variables |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 27 2016 |
Bala Dahiru Abdullahi |
| |
Time-Varying VAR with Stochastic Volatility and Monetary Policy Dynamics in Nigeria |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Nov 26 2016 |
Dimitrios Dimitriou |
| |
Greek debt negotiations and VIX currency indices: A HYGARCH approach |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Nov 09 2016 |
Guoying Deng , Manuel A Hernandez and Yaoguo Wu |
| |
Price discovery and dynamics across housing developers in China |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Aug 03 2016 |
Jamal Bouoiyour and Refk Selmi |
| |
Bitcoin: a beginning of a new phase? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jul 08 2016 |
Afees A. Salisu |
| |
Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jul 08 2016 |
Andreza A Palma |
| |
Natural interest rate in Brazil: further evidence from an AR-trend-bound model |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Apr 29 2016 |
Andrew Phiri |
| |
Did the global financial crisis alter equilibrium adjustment dynamics between the US federal fund fund rates and stock price volatility in the SSA region? |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Apr 14 2016 |
Mohamed Arouri and David Roubaud |
| |
On the determinants of stock market dynamics in emerging countries: the role of economic policy uncertainty in China and India |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 18 2015 |
Laudo Ogura and David T Yi |
| |
Determinants of saving in U.S. nonprofit organizations |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Nov 29 2015 |
Mourad Zmami and Ousama Ben-Salha |
| |
The adjustment of plant-level investment to exchange rate fluctuations in Tunisia: do the size and the ownership structure matter? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Oct 02 2015 |
Yazmín V. Soriano-Morales , Francisco Venegas-Martínez and Benjamín Vallejo-Jiménez |
| |
Determination of the equilibrium expansion rate of money when money supply is driven by a time-homogeneous Markov modulated jump diffusion process
|
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Sep 02 2015 |
Katsuhiro Sugita |
| |
Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jul 24 2015 |
Nikolaos Kourogenis |
| |
Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 01 2015 |
Jacques Jaussaud , Sophie Nivoix and Serge Rey |
| |
The Great East Japan Earthquake and Stock Prices |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 11 2015 |
Sidheswar Panda and Ranjan Kumar Mohanty |
| |
Effects of Exchange Rate Volatility on Exports: Evidence from India |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 11 2015 |
Michèle Breton and Mohammed Kharbach |
| |
Collusion and demand volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 11 2015 |
Prateek Sharma and Swati Sharma |
| |
Forecasting gains of robust realized variance estimators: evidence from European stock markets |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Nov 05 2014 |
Wen-chung Guo and Ying-huei Chen |
| |
Pricing of put warrants and competition among issuers |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Oct 03 2014 |
Jamal Bouoiyour and Refk Selmi |
| |
The Nexus between Inflation and Inflation Uncertainty via wavelet approach: Some Lessons from Egyptian case
|
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Aug 20 2014 |
Mohamed Arouri , Christophe Rault and Frédéric Teulon |
| |
Economic policy uncertainty, oil price shocks and GCC stock markets |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Aug 06 2014 |
Chandan Sharma and Sunny K Singh |
| |
Determinants of International Reserves: Empirical Evidence from Emerging Asia |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jul 26 2014 |
Marcelo Griebeler |
| |
Models for forecasting exchange rate volatility: a comparison between developed and emerging countries |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jun 20 2014 |
Franck Martin and Jiangxingyun Zhang |
| |
Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| May 08 2014 |
Márcio P. Laurini and Roberto B. Mauad |
| |
The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Apr 23 2014 |
Kuang-Liang Chang and Ming-Hui Yen |
| |
The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Mar 31 2014 |
Khaled GUESMI and Salma FATTOUM |
| |
The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Feb 04 2014 |
Jamal Bouoiyour and Refk Selmi |
| |
Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Feb 04 2014 |
Ginny ju-ann Yang , Koyin Chang , Yung-Hsiang Ying and Chen-hsun Lee |
| |
Spillover Effects of Chinese Stock Markets |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Feb 04 2014 |
Fernando N. Oliveira |
| |
The Market of Foreign Exchange Hedge in Brazil: Reaction of Financial Institutions to Interventions of the Central Bank |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jan 14 2014 |
Tobias R. Rühl and Michael Stein |
| |
The impact of financial transaction taxes: Evidence from Italy |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 31 2013 |
Maroula Khraiche and Jeffrey Gaudette |
| |
FDI, Exchange Rate Volatility and Financial Development: Regional Differences In Emerging Economies |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Dec 23 2013 |
M. Hossein Partovi |
| |
Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Aug 27 2013 |
Paulo Sergio Ceretta , Alexandre Silva da Costa , Marcelo Brutti Righi and Fernanda Maria Müller |
| |
A 10 min tick volatility analysis between the Ibovespa and the S&P500 |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jul 16 2013 |
Jani Saastamoinen and Niko Suhonen |
| |
Were the European short selling bans of 2011 effective? |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jul 11 2013 |
Dirk Bleich , Ralf Fendel and Jan-Christoph Rülke |
| |
Monetary Policy and Stock Market Volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 24 2013 |
Elie I Bouri |
| |
Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| May 12 2013 |
Jay Kathavate |
| |
Corruption, aid volatility & growth |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Apr 18 2013 |
Benoît Sévi and César Baena |
| |
The explanatory power of signed jumps for the risk-return tradeoff |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 04 2013 |
Ben Zaied Younes |
| |
A long-run analysis of residential water consumption |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jan 30 2013 |
Nicholas Herro and James Murray |
| |
Dynamics of Monetary Policy Uncertainty and the Impact on the Macroeconomy |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jan 08 2013 |
Aymen Ben Rejeb |
| |
Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Oct 08 2012 |
Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen |
| |
Oil-stock volatility transmission, portfolio selection and hedging |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Aug 28 2012 |
Shigeyuki Hamori and Yoshihiro Hashiguchi |
| |
Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 26 2012 |
Keisuke Otsu |
| |
How well can business cycle accounting account for business cycles? |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Jun 10 2012 |
Robert Czudaj and Joscha Beckmann |
| |
Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| May 20 2012 |
Aymen Belgacem and Amine Lahiani |
| |
More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| May 14 2012 |
Susan Sunila Sharma and Paresh Kumar Narayan |
| |
Investment and oil price volatility |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 26 2012 |
Dimitrios P. Louzis , Spyros Xanthopoulos - Sissinis and Apostolos P. Refenes |
| |
Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 12 2012 |
Ahamada Ibrahim and Boutahar Mohamed |
| |
Power of the KPSS test against shift in variance:
a further investigation. |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Mar 04 2012 |
Gaetano Lisi and Mauro Iacobini |
| |
Measuring the Housing Price Dispersion in Italy |
| |
Abstract Contact Information Citation Full Text - Note |
| |
| Feb 01 2012 |
Roger Collet |
| |
Household car use in France: a demographic and economic analysis |
| |
Abstract Contact Information Citation Full Text - Preliminary Result |
| |
| Jan 23 2012 |
Shuichi Nagata |
| |
Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 13 2012 |
Benoît Sévi and César Baena |
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A reassessment of the risk-return tradeoff at the daily horizon |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 11 2012 |
Takashi Miyazaki , Yuki Toyoshima and Shigeyuki Hamori |
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Exploring the dynamic interdependence between gold and other financial markets |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Chia Ricky Chee-Jiun and Lim Shiok Ye |
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Stock Market Anomalies in South Africa and its Neighbouring Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 24 2011 |
Ching-chin Chou and Show-lin Chen |
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Integrated or segmented? a wavelet transform analysis on relationship between stock and real estate markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 24 2011 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 12 2011 |
Khaled Guesmi |
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What Drives the Regional Integration of Emerging Stock Markets? |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 09 2011 |
Loredana Ureche-Rangau , Fabien Collado and Ulysse Galiay |
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The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 28 2011 |
Loredana Ureche-Rangau and Franck Speeg |
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A simple method for variance shift detection at unknown time points |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 27 2011 |
Go Tamakoshi |
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European sovereign debt crisis and linkage of long-term government bond yields |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2011 |
Tran MANH Tuyen |
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Modeling Volatility Using GARCH Models: Evidence from Vietnam |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 13 2011 |
Marcelo Brutti Righi and Paulo Sérgio Ceretta |
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 06 2011 |
Caroline Duburcq and Eric Girardin |
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The stabilization of foreign bank lending: A neglected benefit of hard pegs |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 06 2011 |
Scott W Hegerty |
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Do international capital flows smooth or transmit macroeconomic volatility? Time-series evidence from emerging markets |
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Abstract Contact Information Citation Full Text - Note |
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| May 15 2011 |
Fardous Alom , Bert D Ward and Baiding Hu |
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Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 20 2011 |
George Milunovich |
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Measuring the Impact of the GFC on European Equity Markets |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 17 2011 |
Sadek Melhem and Michel Terraza |
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Onto Exchange Rate's Short Run Impact on Oil Prices Dynamics: An OPEC Members' perspective |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 15 2011 |
Walid Chkili and Duc Khuong Nguyen |
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Modeling the volatility of Mediterranean stock markets: a regime-switching approach |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 02 2011 |
Fernanda G Barba and Paulo S Ceretta |
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Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 15 2011 |
Chaker Aloui Mr and Ben hamida Hela miss |
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Hurst's exponent behaviour, weak-form stock market efficiency
and financial liberalization: the Tunisian case
|
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Abstract Contact Information Citation Full Text - Note |
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| Mar 14 2011 |
François Benhmad |
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A wavelet analysis of oil price volatility dynamic |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 14 2011 |
François Benhmad |
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Noise traders or Fundamentalists? A Wavelet approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 17 2011 |
Mazhar Yasin mughal and Farid Makhlouf |
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Volatility of Remittances to Pakistan: What do the Data Tell? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 14 2011 |
Peter Karpestam and Fredrik NG Andersson |
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A flexible CO2 targeting regime |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 07 2011 |
Sacha Bourgeois-gironde and Anne Corcos |
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Discriminating strategic reciprocity and acquired trust in the repeated trust-game |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 08 2010 |
Siow-Hooi Tan and Mohammad Tariqul Islam Khan |
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Long Memory Features in Return and Volatility of the Malaysian Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 08 2010 |
Kamel malik Bensafta |
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Non-stationary Variance and Volatility Causality |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 03 2010 |
George Milunovich and Ronald Ripple |
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Crude Oil Volatility: Hedgers or Investors |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 09 2010 |
Haifeng Xu and Shigeyuki Hamori |
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Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 28 2010 |
Jean-michel Sahut |
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A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 27 2010 |
Thomas Grennes , Pablo Guerron-quintana and Asli Leblebicioglu |
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Economic Development and Volatility among the States |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2010 |
Bolong Cao , Shamila Jayasuriya and William Shambora |
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Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect? |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2010 |
Dean Fantazzini |
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Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 12 2010 |
Tho D.Q. Nguyen and Jian Wu |
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Spillover impacts of the US macroeconomic news: Australian sectoral perspective |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2010 |
Julien Chevallier |
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Volatility forecasting of carbon prices using factor models |
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Abstract Contact Information Citation Full Text - Note |
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| May 03 2010 |
Sisi Zhang |
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Recent Trends in Household Income Dynamics for the
United States, Germany and Great Britain |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 27 2010 |
Cesar R Sobrino |
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The Effects of Inflation Targeting
on the Current Account: An Empirical Examination
|
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Abstract Contact Information Citation Full Text - Note |
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| Mar 30 2010 |
Yves Jegourel and Samuel Maveyraud |
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A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter? |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 18 2010 |
Meixing Dai |
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Financial volatility and optimal instrument choice: A revisit to Poole's analysis
|
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Abstract Contact Information Citation Full Text - Note |
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| Jan 29 2010 |
Yen-Chen Chiu |
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Industry Concentration and Cash Flow at Risk |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 13 2010 |
Frederik Lundtofte |
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Implied volatility and risk aversion in a simple model with uncertain growth
|
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Abstract Contact Information Citation Full Text - Note |
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| Dec 06 2009 |
António Afonso and Davide Furceri |
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Sectoral Business Cycle Synchronization in the European Union |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 24 2009 |
Chandan Sharma |
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Does Full Sterilization Feasible in Era of Excess Volatility:
Evidence from India
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 13 2009 |
Manish Kumar |
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A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 29 2009 |
Mei-yin Lin and Hui-hua Wang |
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What Causes the Volatility of the Balancing Item? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 29 2009 |
Helena Veiga |
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Comment on "Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models" by H. Veiga |
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Abstract Contact Information Citation Full Text - Comment |
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| Oct 26 2009 |
Hans Byström |
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News aggregators, volatility and the stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 16 2009 |
Jui-Cheng Hung , Ren-Xi Ni and Matthew C. Chang |
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The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 30 2009 |
Olivier Damette |
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Exchange rate volatility and noise traders: Currency Transaction Tax as an eviction device |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 25 2009 |
Neil Bania and Laura Leete |
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Monthly household income volatility in the U.S., 1991/92 vs. 2002/03 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 29 2009 |
Chee-keong Choong Ph.D and Venus khim-sen Liew Ph.D |
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Impact of foreign direct investment volatility on
economic growth of asean-5 countries
|
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Abstract Contact Information Citation Full Text - Note |
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| Jun 05 2009 |
Ching-Chun Wei |
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An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return |
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Abstract Contact Information Citation Full Text - Note |
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| May 28 2009 |
Estela Sáenz , María Dolores Gadea and Marcela Sabaté |
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Measuring the external risk in the United Kingdom |
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Abstract Contact Information Citation Full Text - Note |
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| May 15 2009 |
Daniel Danau |
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A note on fixed and flexible-term contracts |
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Abstract Contact Information Citation Full Text - Note |
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| May 04 2009 |
Jim Lee |
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Food and Energy Prices in Core Inflation |
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Abstract Contact Information Citation Full Text - Note |
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| May 03 2009 |
C. emre Alper and Orhan Torul |
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Asymmetric adjustment of retail gasoline prices in turkey to world crude oil price changes: the role of taxes |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 27 2009 |
Eurilton Araujo |
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Supply-side effects of monetary policy and the central bank's objective function |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2009 |
Giam Quang Do , Michael Mcaleer and Songsak Sriboonchitta |
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Effects of international gold market on stock exchange volatility:
evidence from asean emerging stock markets
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 01 2009 |
Anthony N Rezitis and Konstantinos S Stavropoulos |
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Modeling sheep supply response under asymmetric price volatility and cap reforms |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 26 2009 |
Chia-Cheng Ho , Su-Yin Cheng and Han Hou |
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Purchasing Power Parity and Country Characteristics: Evidence from Time Series Analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 13 2009 |
Shiba Suzuki |
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Risks after disasters: a note on the effects of precautionary saving on equity premiums |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 05 2009 |
Helena Veiga |
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Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 28 2008 |
Wan-Hsiu Cheng |
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Overestimation in the Traditional GARCH Model During Jump Periods |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 14 2008 |
William Shambora and Shamila Jayasuriya |
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The world is shrinking: Evidence for stock market convergence |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 01 2008 |
Mark J. Holmes and Sayeeda Bano |
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On openness and real exchange rate volatility |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 26 2008 |
Chrysost Bangaké |
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Exchange Rate Volatility and Optimum Currency Area: Evidence from Africa |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 06 2008 |
Duc NGUYEN |
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An empirical analysis of structural changes in emerging market volatility |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 27 2008 |
Shyh-Wei Chen |
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Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 28 2008 |
Rebecca Neumann and Ron Penl |
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Volatile capital flows: Interactions between de jure and de facto financial liberalization |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 22 2008 |
Davide Furceri and Georgios Karras |
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Business cycle volatility and country zize :evidence for a sample of OECD countries |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 17 2007 |
Matei Demetrescu |
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Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 09 2007 |
Lawrence Uren |
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Entrepreneurship and labour market fluctuations |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 09 2007 |
Mark J. Holmes |
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Is a more stable exchange rate associated with reduced exchange rate pass-through? |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 21 2007 |
Bonnie Wilson , Jac Heckelman and Dennis Coates |
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Special-Interest Groups and Volatility |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 02 2007 |
Venus Khim-Sen Liew , Wing-Keung Wong and Zhuo Qiao |
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Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2007 |
Yen-Hsien Lee and Chien-Liang Chiu |
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The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 12 2007 |
Wen-Hsiu Kuo , Liu-Hsiang Hsu and Ching-Chung Lin |
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The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 27 2007 |
Ming-Yuan Li , Hsuan-Ho Cheng , Yu-Chen Lin and Alan T. Wang |
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Determinants and Impacts of the Relative Use of Depository Receipts and Euro Convertible Bonds by High-tech Corporations: An Empirical Study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 10 2007 |
Stefan Norrbin and Onsurang Pipatchaipoom |
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Is the real dollar rate highly volatile? |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 06 2006 |
Jonas Andersson |
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Searching for the DGP when forecasting - Is it always meaningful for small samples? |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 08 2006 |
Attila Ratfai |
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How Fast Is Convergence to the Law of One Price? Very |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 05 2006 |
Erdal Atukeren and Aylin Seçkin |
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Art and the Economy: A First Look at the Market for Paintings in Turkey |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2006 |
Fulvia Focker and Umberto Triacca |
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A new proxy of the average volatility of a basket of returns: A Monte Carlo study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 06 2005 |
Sergio Da Silva , Newton Da Costa, Jr , Joao Tusi and Andre Santos |
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Evaluating Brazilian mutual funds with stochastic frontiers |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 01 2005 |
Venus Khim-Sen Liew and Terence Tai-leung Chong |
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Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 25 2004 |
M. Hossein Partovi and Michael Caputo |
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Principal Portfolios: Recasting the Efficient Frontier |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 08 2004 |
Taro Kanatani |
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Integrated volatility measuring from unevenly sampled observations |
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Abstract Contact Information Citation Full Text - Comment |
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| Aug 25 2004 |
Frank Westerhoff and Sebastiano Manzan |
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Does liquidity in the FX market depend on volatility? |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 09 2004 |
Udo Broll and Jack E. Wahl |
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Optimal hedge ratio and elasticity of risk aversion |
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Abstract Contact Information Citation Full Text - Note |
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| May 04 2004 |
Chongcheul Cheong |
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Does the risk of exchange rate fluctuation really affect international trade flows between countries? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 21 2004 |
Simon Grant and John Quiggin |
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Noise Trader Risk and the Welfare Effects of Privatization |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 19 2004 |
AHAMADA IBRAHIM |
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A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 12 2003 |
AHAMADA IBRAHIM |
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Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density. |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 23 2003 |
Kyongwook Choi , William Shambora and Chulho Jung |
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Macroeconomic Effects of Inflation Targeting Policy in New Zealand |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 02 2003 |
Corrado Di Guilmi , Mauro Gallegati and Edoardo Gaffeo |
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Power Law Scaling in the World Income Distribution |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 22 2002 |
Konstantin A. Kholodilin |
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Some Evidence of Decreasing Volatility of the US Coincident Economic Indicator |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 05 2002 |
Yi-Ting Chen |
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On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 23 2001 |
João Amaro de Matos and Paula Antão |
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Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid |
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Abstract Contact Information Citation Full Text - Note |
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