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Journal of Empirical Finance / Elsevier


1.15

Impact Factor

1.31

5-Years IF

52

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.10100 (%)0.04
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.116620.3312430040 (3.2%)0.05
19940.50.120.5101670.44296636312 (4.1%)20.20.05
19950.880.20.881430170.572321614161411 (4.7%)20.140.07
19960.830.241.31848571.199982420303922 (2.2%)70.390.09
19970.470.280.831361470.779063215484033 (3.6%)40.310.1
19981.230.291.021778720.925303138616212 (2.3%)20.120.1
19991.10.331.14231011311.35403033728219 (3.5%)50.220.14
20000.80.41.31191201821.5266340328511126 (3.9%)30.160.15
20011.10.411.7251452511.7344842469015320 (4.5%)80.320.15
20020.70.421.13261712571.552144319711019 (3.6%)100.380.18
20030.90.451.31261974042.051252514611014439 (3.1%)2610.19
20041.630.51.57322294732.07961528511918746 (4.8%)120.380.2
20051.670.531.42302595041.95704589712818226 (3.7%)130.430.21
20061.440.521.87242836702.37596628913926028 (4.7%)190.790.2
20071.170.461.62353186161.94744546313822418 (2.4%)170.490.18
20081.560.491.87493677011.91742599214727535 (4.7%)140.290.2
20091.380.481.46604277321.718638411617024933 (3.8%)150.250.19
20101.10.461.4624897771.5958410912019827729 (5%)80.130.17
20110.80.531.14625518641.575651229823026231 (5.5%)180.290.2
20120.940.561.415060110831.828212411626837713 (4.6%)130.260.2
20131.160.631.485065113302.041641121302834202 (1.2%)50.10.22
20140.880.661.486771815242.122041008828442019 (9.3%)140.210.22
20150.880.731.326478214671.881301171032913849 (6.9%)170.270.23
20161.150.951.3110288415831.79951311512933835 (5.3%)330.320.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

990
21996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

Full description at Econpapers || Download paper

524
31997Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

Full description at Econpapers || Download paper

387
42000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

Full description at Econpapers || Download paper

281
51996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

Full description at Econpapers || Download paper

264
62007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

Full description at Econpapers || Download paper

227
72003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

Full description at Econpapers || Download paper

223
82003Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

Full description at Econpapers || Download paper

209
92004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

Full description at Econpapers || Download paper

197
101998Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

Full description at Econpapers || Download paper

191
112004Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

Full description at Econpapers || Download paper

169
121997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

Full description at Econpapers || Download paper

155
132009International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

Full description at Econpapers || Download paper

154
141993Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31.

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147
152004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

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143
162003A simple measure of the intensity of capital controls. (2003). Warnock, Francis ; Edison, Hali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103.

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136
172003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

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127
182005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

Full description at Econpapers || Download paper

125
192005Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

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112
201994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Phillips, Peter ; Loretan, Mico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248.

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107
212008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

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100
221997The incremental volatility information in one million foreign exchange quotations. (1997). xu, xinzhong ; Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340.

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99
232002Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

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97
241999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477.

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96
252006Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

Full description at Econpapers || Download paper

95
262009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

Full description at Econpapers || Download paper

92
272001The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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90
282003Predicting emerging market currency crashes. (2003). Perraudin, William ; Kumar, Mohan ; Moorthy, Uma. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454.

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88
291997High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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85
301997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. (1997). Engle, Robert ; Russell, Jeffrey R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212.

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84
312007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

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83
322000Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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81
332004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

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81
341999Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27.

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75
351999A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331.

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73
361994Alternative constructions of Tobins q: An empirical comparison. (1994). Wiles, Kenneth W. ; Perfect, Steven B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341.

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73
371998International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296.

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70
382009Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150.

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69
392004The rise in comovement across national stock markets: market integration or IT bubble?. (2004). Del Negro, Marco ; Brooks, Robin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:659-680.

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68
401997Public information releases, private information arrival and volatility in the foreign exchange market. (1997). Shrieves, Ronald ; Degennaro, Ramon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315.

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68
411998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1. (1998). Startz, Richard ; Nelson, Charles ; Kim, Chang-Jin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154.

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67
422005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Melvin, Michael ; Grammig, Joachim ; Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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65
43CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

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64
442006In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247.

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60
452001Testing and comparing Value-at-Risk measures. (2001). Inoue, Atsushi ; Christoffersen, Peter ; Hahn, Jinyong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342.

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59
462003Diversification benefits of emerging markets subject to portfolio constraints. (2003). Wang, Zhenyu ; Sarkar, Asani ; Li, Kai. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:57-80.

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57
472005The relationship between stock returns and inflation: new evidence from wavelet analysis. (2005). In, Francis ; Kim, Sangbae . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:435-444.

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55
481997The analysis of foreign exchange data using waveform dictionaries. (1997). Ramsey, James B. ; Zhang, Zhifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372.

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54
492001Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155.

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54
502008Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. (2008). Gex, Mathieu ; Coudert, Virginie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:2:p:167-184.

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54

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

182
22009International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

Full description at Econpapers || Download paper

89
32003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

Full description at Econpapers || Download paper

78
42007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

Full description at Econpapers || Download paper

77
52004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

Full description at Econpapers || Download paper

73
62004Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

Full description at Econpapers || Download paper

69
71997Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

Full description at Econpapers || Download paper

61
82000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

Full description at Econpapers || Download paper

61
92008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

Full description at Econpapers || Download paper

48
102009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

Full description at Econpapers || Download paper

46
112005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

Full description at Econpapers || Download paper

43
121996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

Full description at Econpapers || Download paper

42
131996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

Full description at Econpapers || Download paper

36
142005Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

Full description at Econpapers || Download paper

33
152004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

Full description at Econpapers || Download paper

30
161997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

Full description at Econpapers || Download paper

30
172003Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

Full description at Econpapers || Download paper

29
182009Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150.

Full description at Econpapers || Download paper

29
192007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

Full description at Econpapers || Download paper

28
202006Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

Full description at Econpapers || Download paper

28
212011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Lim, Kian-Ping ; Kim, Jae ; Shamsuddin, Abul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879.

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27
222011When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340.

Full description at Econpapers || Download paper

27
232004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

Full description at Econpapers || Download paper

26
242005The relationship between stock returns and inflation: new evidence from wavelet analysis. (2005). In, Francis ; Kim, Sangbae . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:435-444.

Full description at Econpapers || Download paper

25
252010A network perspective of the stock market. (2010). Tse, Chi ; Lau, Francis C. M., ; Liu, Jing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:659-667.

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25
262011Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Laurent, Sébastien ; Croux, Christophe ; Boudt, Kris . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367.

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24
272004The rise in comovement across national stock markets: market integration or IT bubble?. (2004). Del Negro, Marco ; Brooks, Robin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:659-680.

Full description at Econpapers || Download paper

22
282008Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Kim, Jae ; Shamsuddin, Abul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532.

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22
292002Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

Full description at Econpapers || Download paper

21
302009Applying the method of simulated moments to estimate a small agent-based asset pricing model. (2009). Franke, Reiner . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:5:p:804-815.

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21
311998Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

Full description at Econpapers || Download paper

21
322008Regression analysis of proportions in finance with self selection. (2008). McCullough, B ; Cook, Douglas O. ; Kieschnick, Robert . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867.

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20
332014Modelling changes in the unconditional variance of long stock return series. (2014). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:15-35.

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19
342012Stock return autocorrelations revisited: A quantile regression approach. (2012). Baur, Dirk ; Dimpfl, Thomas ; Jung, Robert C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:254-265.

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19
352006Are investors moonstruck? Lunar phases and stock returns. (2006). Zheng, Lu ; Yuan, Kathy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:1:p:1-23.

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19
362003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

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18
372008Estimation of an adaptive stock market model with heterogeneous agents. (2008). Amilon, Henrik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:2:p:342-362.

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382004Analysis of intraday herding behavior among the sector ETFs. (2004). Mathur, Ike ; Peterson, Mark A. ; Gleason, Kimberly C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:681-694.

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17
392010Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380.

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402011How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

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17
412006In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247.

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17
422005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Melvin, Michael ; Grammig, Joachim ; Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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431999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477.

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442007CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

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17
452009Time-varying Integration and International diversification strategies. (2009). Inghelbrecht, Koen ; Baele, Lieven. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:368-387.

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462008UK mutual fund performance: Skill or luck?. (2008). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:613-634.

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16
472008Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. (2008). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:729-750.

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16
482000Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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492007Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610.

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502011Market discipline and too-big-to-fail in the CDS market: Does banks size reduce market discipline?. (2011). Wedow, Michael ; Volz, Manja . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:195-210.

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Citing documents used to compute impact factor 151:


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2016Trading Heterogeneity under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Research Paper Series. RePEc:uts:rpaper:373.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Podobnik, B ; Havlin, S ; Kononovicius, A ; Stanley, H E ; Gontis, V. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102.

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2016Volatility clustering: A nonlinear theoretical approach. (2016). He, Xuezhong ; Wang, Chuncheng ; Li, Kai . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:274-297.

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2016Trading heterogeneity under information uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:64-80.

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2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market. (2016). DA FONSECA, José ; Ziveyi, Jonathan ; Ignatieva, Katja . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228.

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2016Highly flexible distributions to fit multiple frequency financial returns. (2016). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:442:y:2016:i:c:p:203-213.

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2016The bond event study methodology since 1974. (2016). Maul, D ; Schiereck, D. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:80723.

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2016An Assessment of Islamic Banking in Bosnia and Herzegovina – a comparative analysis using the CAMELS approach. (2016). Komorowski, Rafa ; Kubiszewska, Katarzyna . In: International Economics. RePEc:ann:inecon:y:2016:i:16:p:367-387.

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2016Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor. (2016). Streit, Daniel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:289-312.

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2016Exchange Rate Predictability and State-of-the-Art Models. (2016). Yesin, Pinar. In: Working Papers. RePEc:szg:worpap:1603.

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2016Exchange Rate Predictability and State-of-the-Art Models. (2016). Yesin, Pinar. In: Working Papers. RePEc:snb:snbwpa:2016-02.

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2016Exchange Rate Returns and External Adjustment: Evidence from Switzerland. (2016). Nitschka, Thomas ; Grisse, Christian. In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:2:d:10.1007_s11079-015-9376-6.

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2016Capital Flows and the Swiss Franc. (2016). Yesin, Pinar. In: Working Papers. RePEc:snb:snbwpa:2016-08.

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2016Capital Flows and the Swiss Franc. (2016). Yesin, Pinar. In: Working Papers. RePEc:szg:worpap:1604.

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2016Intra-safe haven currency behavior during the global financial crisis. (2016). Yamamoto, Yohei ; Fatum, Rasmus . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:66:y:2016:i:c:p:49-64.

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2016Risk premia on Swiss government bonds and sectoral stock indexes during international crises:. (2016). Nitschka, Thomas. In: Aussenwirtschaft. RePEc:usg:auswrt:2016:67:02:51-67.

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2016Macroeconomic surprises, market environment and safe-haven currencies. (2016). Zanetti, Attilio ; Schlegel, Martin ; Jaggi, Adrian . In: Working Papers. RePEc:snb:snbwpa:2016-15.

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2016The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings. (2016). Wu, Yuan . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:1:d:10.1007_s10690-016-9211-0.

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2016Market dynamics and momentum in the Taiwan stock market. (2016). Lin, Chaonan ; Yang, Nien-Tzu ; Feng, Zhi-Xiang ; Ko, Kuan-Cheng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:38:y:2016:i:c:p:59-75.

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2016Momentum and downside risk. (2016). Min, Byoung-Kyu ; Kim, Tong Suk . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s104-s118.

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2016The anatomy of sovereign risk contagion. (2016). Wu, Eliza ; Remolona, Eli ; Erdem, Magdalena ; Kalotychou, Elena . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:69:y:2016:i:c:p:264-286.

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2016Estimation of financial agent-based models with simulated maximum likelihood. (2016). Kukacka, Jiri ; Baruník, Jozef. In: FinMaP-Working Papers. RePEc:zbw:fmpwps:63.

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2016Inflation in the euro area and why it matters. (2016). Hoeberichts, Marco ; de Haan, Jakob ; Teppa, Federica ; Maas, Renske . In: DNB Occasional Studies. RePEc:dnb:dnbocs:1403.

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2016Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto . In: Working Paper Series. RePEc:ecb:ecbwps:20161979.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India. (2016). Sehgal, Sanjay ; Dutt, Mala . In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:43:y:2016:i:3:d:10.1007_s40622-016-0137-1.

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2016What can we learn about commodity and credit cycles? Evidence from African commodity-exporting countries. (2016). Kablan, Akassi ; Ftiti, Zied ; Guesmi, Khaled . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:313-324.

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2016Forecasting economic activity from yield curve factors. (2016). Tzavalis, Elias ; Argyropoulos, Efthymios . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:293-311.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2016The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests. (2016). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo . In: Working Papers. RePEc:pre:wpaper:201679.

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2016An examination of the benefits of dynamic trading strategies in U.K. closed-end funds. (2016). Fletcher, Jonathan ; Basu, Devraj . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:109-118.

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2016Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro. (2016). Kar, Muhsin ; Kayhan, Selim ; Bayat, Tayfur . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:3:p:14-:d:73200.

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2016The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

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2016Euro crash risk. (2016). Kräussl, Roman ; Senulyt, Sigita ; Kraussl, Roman ; Lehnert, Thorsten . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:417-428.

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2016Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?. (2016). Kim, Jae. In: MPRA Paper. RePEc:pra:mprapa:70692.

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2016Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation. (2016). Yergeau, Gabriel. In: Working Papers. RePEc:ris:crcrmw:2016_003.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

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2016Stock prices and macroeconomic factors: Some European evidence. (2016). Peiro, Amado . In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:287-294.

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2016Monetary Policy and Corporate Bond Returns. (2016). Kontonikas, Alexandros ; Maio, Paulo ; Zekaite, Zivile . In: Working Papers. RePEc:gla:glaewp:2016_05.

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2016Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models. (2016). McCabe, Brendan ; Robert, Christian P ; Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-09.

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2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments). (2016). Kristensen, Dennis ; Creel, Michael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:99-114.

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2016A Note on Julia and MPI, with Code Examples. (2016). Creel, Michael. In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9516-5.

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2016Neural Nets for Indirect Inference. (2016). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:942.

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2016The source of stock return fluctuation in Taiwan. (2016). Liu, De-Chih . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:77-88.

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2016Be nice to your innovators: Employee treatment and corporate innovation performance. (2016). Podolski, Edward ; HSU, Po-Hsuan ; Chen, Yangyang . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:78-98.

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2016Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches. (2016). Baillie, Richard T ; Ho, Kun . In: Working Paper Series. RePEc:rim:rimwps:16-04.

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2016Capital asset pricing model: A time-varying volatility approach. (2016). Ho, Kun ; Kim, Taejin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:268-281.

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2016Immigrant-native differences in stockholding РThe role of cognitive and non-cognitive skills. (2016). Steinhardt, Max ; Luik, Marc-Andr̩. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:103-119.

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2016Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets. (2016). Gunay, Samet ; Shi, Yanlin . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:1:p:122-137.

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2016Islamic financial markets and global crises: Contagion or decoupling?. (2016). Naifar, Nader ; Kenourgios, Dimitris ; Dimitriou, Dimitrios. In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:36-46.

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2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. (2016). Monostori, Zoltán ; Kocsis, Zalan. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:140-168.

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2016Bank fragility and contagion: Evidence from the bank CDS market. (2016). Ballester, Laura ; Gonzalez-Urteaga, Ana ; Casu, Barbara . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:394-416.

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2016Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach. (2016). Spyrou, Spyros ; Galariotis, Emilios C ; Makrichoriti, Panagiota . In: Journal of Financial Stability. RePEc:eee:finsta:v:26:y:2016:i:c:p:62-77.

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2016Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem . In: CORE Discussion Papers. RePEc:cor:louvco:2016053.

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2016An agent-based model of dynamics in corporate bond trading. (2016). Turrell, Arthur ; Liu, Zijun ; Braun-Munzinger, Karen. In: Bank of England working papers. RePEc:boe:boeewp:0592.

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2016Order aggressiveness of different broker-types in response to monetary policy news. (2016). Smales, Lee. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:367-383.

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2016Topics in Labour Markets. (2016). Babecký, Jan ; Zigraiova, Diana ; Galuscak, Kamil ; Babecky, Jan ; Vasicek, Osvald ; Tvrz, Stanislav ; Stanislav Tvrz, ; Tonner, Jaromir ; Polansky, Jiri ; Bruha, Jan . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb14/1.

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2016Essays on banking sector’s dynamics, expectations, preferences and impact. (2016). . In: Other publications TiSEM. RePEc:tiu:tiutis:d064f029-f91e-47bc-b6d3-0ffef7e3b761.

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2016The leverage effect puzzle: the case of European sovereign credit default swap market. (2016). Kliber, Agata. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9121-3.

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2016Financial Cycles and Macroprudential and Monetary Policies. (2016). Hlaváček, Michal ; Babecký, Jan ; Plasil, Miroslav ; Frait, Jan ; Malovana, Simona ; Kejak, Michal ; Mateju, Jakub ; Audzei, Volha ; Hlavac, Petr ; Seidler, Jakub . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb14/2.

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2016Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia. In: Working Papers. RePEc:szg:worpap:1606.

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2016Explosive bubbles in house prices? Evidence from the OECD countries. (2016). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:14-25.

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2016The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?. (2016). Pedersen, Thomas ; Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2016-11.

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2016Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. (2016). Hou, Yang ; Li, Steven . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:884-897.

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2016Price discovery of cross-listed firms. (2016). Ghadhab, Imen ; Hellara, Slaheddine . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:177-188.

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2016Cross-listing and value creation. (2016). Ghadhab, Imen ; Hellara, Slaheddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:1-11.

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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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2016Are banks’ below-par own debt repurchases a cause for prudential concern?. (2016). Lubberink, Martien ; Renders, Annelies . In: MPRA Paper. RePEc:pra:mprapa:72814.

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2016Public news arrival and the idiosyncratic volatility puzzle. (2016). Shi, Yanlin ; Ho, Kin-Yip ; Liu, Wai-Man . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:159-172.

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2016Assessing Euro Crises from a Time Varying International CAPM Approach. (2016). Baillie, Richard T ; Cho, Dooyeon . In: Working Paper Series. RePEc:rim:rimwps:16-03.

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2016Uncovered interest parity: The long and the short of it. (2016). Lothian, James. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:1-7.

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2016Assessing Euro crises from a time varying international CAPM approach. (2016). Cho, Dooyeon ; Baillie, Richard T. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:197-208.

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2016Political influence, firm performance and survival. (2016). Solanko, Laura ; Sokolov, Vladimir . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2016_020.

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2016Illiquidity premium and expected stock returns in the UK: A new approach. (2016). Sherif, Mohamed . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:52-66.

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2016Sovereign debt ratings and stock liquidity around the World. (2016). Sapriza, Horacio ; Wu, Yangru ; Lee, Kuan-Hui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:99-112.

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2016The time-varying leading properties of the high yield spread in the United States. (2016). De Pace, Pierangelo ; DePace, Pierangelo ; Weber, Kyle D. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:203-230.

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2016The macroeconomic determinants of the US term structure during the Great Moderation. (2016). Paccagnini, Alessia. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:216-225.

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2016Business cycles, international trade and capital flows: evidence from Latin America. (2016). Girardi, Alessandro ; Caporale, Guglielmo Maria. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:2:d:10.1007_s00181-015-0928-9.

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2016Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US. (2016). Miller, Stephen ; Canarella, Giorgio. In: Working papers. RePEc:uct:uconnp:2016-11.

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2016Fiscal sustainability and the financial cycle. (2016). Lombardi, Marco ; BORIO, Claudio ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:552.

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2016Why risk is so hard to measure. (2016). Zhou, Chen ; Danielsson, Jon. In: DNB Working Papers. RePEc:dnb:dnbwpp:494.

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2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492.

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2016Estimating Systematic Risk Under Extremely Adverse Market Conditions. (2016). Zhou, Chen ; van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:16-22.

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2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492.

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2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. (2016). Zhou, Chen ; Mercadier, Cecile ; Haan, Laurens . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-015-0287-6.

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2016GARCH models, tail indexes and error distributions: An empirical investigation. (2016). Sopov, Boril ; Horvath, Roman. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:1-15.

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2016The pricing of sentiment risk in European stock markets. (2016). Keiber, Karl Ludwig ; Samyschew, Helene . In: Discussion Papers. RePEc:zbw:euvwdp:384.

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2016Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; van Eyden, Renee ; Demirer, Riza ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:201620.

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2016Local Versus International Crises, Foreign Subsidiaries and Bank Stability: Evidence from the MENA Region. (2016). TARAZI, Amine ; Alraheb, Tammuz . In: Working Papers. RePEc:hal:wpaper:hal-01270806.

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2016Capital accumulation in a politically unstable region. (2016). Turk Ariss, Rima ; Herrala, Risto ; Turk-Ariss, Rima . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:1-15.

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2016Economic policy uncertainty and risk spillovers in the Eurozone. (2016). Gnabo, Jean-Yves ; Guilmin, Gregory ; Bernal, Oscar. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:65:y:2016:i:c:p:24-45.

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2016THE IMPACT OF ECONOMIC POLICY UNCERTAINTY ON THE VEHICLE MILES TRAVELED (VMT) IN THE U.S.. (2016). Gözgör, Giray ; Demir, Ender. In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:4:y:2016:i:3:p:39-48.

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2016Local Versus International Crises, Foreign Subsidiaries and Bank Stability: Evidence from the MENA Region. (2016). TARAZI, Amine ; Alraheb, Tammuz . In: Working Papers. RePEc:erg:wpaper:1045.

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2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Krämer, Walter ; Davies, Laurie ; Kraemer, Walter . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5796.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2016Residual-augmented IVX predictive regression. (2016). Rodrigues, Paulo ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201605.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Davies, Laurie ; Kramer, Walter . In: Papers. RePEc:arx:papers:1612.05229.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Wied, Dominik ; Pape, Katharina . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts. (2016). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1164-1193.

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2016Capital asset pricing model: A time-varying volatility approach. (2016). Ho, Kun ; Kim, Taejin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:268-281.

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2016Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran. (2016). Mohammadzadeh, Azam ; Roshan, Reza ; Shahiki, Mohammad Nabi . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-79.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks. (2016). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange ; Stancato, Sergio Rubens . In: Working Papers Series. RePEc:bcb:wpaper:426.

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2016Network, Market, and Book-Based Systemic Risk Rankings. (2016). van de Leur, Michiel ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074.

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2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO ; Claudio, Morana . In: Working Papers. RePEc:mib:wpaper:330.

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2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO. In: Working Paper Series. RePEc:rim:rimwps:16-02.

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2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO. In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:232925.

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2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO. In: Working Papers. RePEc:fem:femwpa:2016.23.

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2016The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises. (2016). MORANA, CLAUDIO. In: CeRP Working Papers. RePEc:crp:wpaper:155.

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2016Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets. (2016). Piljak, Vanja ; Dimic, Nebojsa ; Aijo, Janne ; Kiviaho, Jarno . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:41-51.

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2016Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets. (2016). Miani, Stefano ; Sclip, Alex ; Dreassi, Alberto ; Paltrinieri, Andrea . In: Review of Financial Economics. RePEc:eee:revfin:v:31:y:2016:i:c:p:34-44.

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2016How to Measure the Unsecured Money Market: The Eurosystem’s Implementation and Validation Using TARGET2 Data. (2016). Picillo, Cristina ; Heijmans, Ronald ; arciero, luca ; Vacirca, Francesco ; Massarenti, Marco ; Heuver, Richard . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2016:q:1:a:8.

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2016Financial Networks, Bank Efficiency and Risk-Taking. (2016). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange ; de Castro, Rodrigo Cesar . In: Working Papers Series. RePEc:bcb:wpaper:428.

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2016Heterogeneous Firms and International Trade: The role of productivity and financial fragility. (2016). Ricchiuti, Giorgio ; Grazzini, Jakob ; Delli Gatti, Domenico ; Assenza, Tiziana . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def042.

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2016Taxation, industry integration and production efficiency. (2016). Moriconi, Simone. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def043.

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2016SURVIVAL VALUE AND A ROBUST, PRACTICAL, JOYLESS INDIVIDUALISM: THOMAS NIXON CARVER, SOCIAL JUSTICE, AND EUGENICS. (2016). Fiorito, Luca . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def044.

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2016Financial networks, bank efficiency and risk-taking. (2016). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange ; de Castro, Rodrigo Cesar . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:247-257.

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2016Financial constraints and public funding for eco-innovation: Empirical evidence on European SMEs. (2016). Mancusi, Maria ; Corrocher, Nicoletta ; Cecere, Grazia . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def046.

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2016Financing elderly care in Italy and Europe. Is there a common vision?. (2016). Gitto, Lara ; Brenna, Elenka. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def047.

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2016Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783.

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2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

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2016Risk-return trade-off for European stock markets. (2016). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:84-103.

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2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

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2016Free float and market liquidity around the world. (2016). Ding, Xiaoya ; Ni, Yang ; Zhong, Ligang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:236-257.

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2016Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. (2016). Ripamonti, Alexandre. In: MPRA Paper. RePEc:pra:mprapa:79459.

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2016Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. (2016). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Marco, Chi Keung ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:96-114.

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2016Modeling Financial Market Volatility in Transition Markets: A Multivariate Case. (2016). Oikonomikou, Leoni Eleni. In: Courant Research Centre: Poverty, Equity and Growth - Discussion Papers. RePEc:got:gotcrc:204.

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2016Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods. (2016). Marcellino, Massimiliano ; Papailias, Fotis ; Kapetanios, George . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:369-382.

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2016A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660.

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2016What drives long-term oil market volatility? Fundamentals versus Speculation. (2016). Yin, Libo ; Zhou, Yimin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20162.

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2016Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets. (2016). Yarovaya, Larisa ; Keung, Marco Chi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:605-619.

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2016On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets. (2016). Raza, Syed ; Boubaker, Heni . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:459:y:2016:i:c:p:9-23.

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2016Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri . In: MPRA Paper. RePEc:pra:mprapa:75740.

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2016The probability of informed trading measured with price impact, price reversal, and volatility. (2016). Kitamura, Yoshihiro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:77-90.

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2016Pinning down an effective measure for probability of informed trading. (2016). Wee, Marvin ; Petchey, James ; Yang, Joey . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:456-475.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016Managerial overconfidence, government intervention and corporate financing decision. (2016). Lean, Hooi Hooi ; Kiong, Irene Wei ; Azizan, Noor Azlinna ; Kweh, Qian Long . In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:v:12:y:2016:i:1:p:4-24.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016. (2016). Menezes, Rui ; Bentes, Sonia . In: Papers. RePEc:arx:papers:1610.00259.

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2016Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r.

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2016Nonparametric Tail Risk, Stock Returns and the Macroeconomy. (2016). Garcia, René ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-20.

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2016Predicting the yield curve using forecast combinations. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:79-98.

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2016Investor attention and market microstructure. (2016). Ruan, Xinfeng ; Zhang, Jin E. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:125-130.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. (2016). Monostori, Zoltán ; Kocsis, Zalan. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:140-168.

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2016The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

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2016The shine of precious metals around the global financial crisis. (2016). Figuerola-Ferretti, Isabel ; McCrorie, Roderick J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:717-738.

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2016A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it”. (2016). Jensen, Mark. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:166-168.

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2016Assessing Euro crises from a time varying international CAPM approach. (2016). Cho, Dooyeon ; Baillie, Richard T. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:197-208.

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2016On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries. (2016). Pelloni, Gianluigi ; Panagiotidis, Theodore ; Bakas, Dimitrios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:229-240.

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2016Pure higher-order effects in the portfolio choice model. (2016). Peel, David ; Paya, Ivan ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:255-260.

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2016The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Deelstra, Griselda ; van Weverberg, Christopher ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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2016Private credit spillovers and economic growth: Evidence from BRICS countries. (2016). Samargandi, Nahla ; Kutan, Ali M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:56-84.

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2016Probably too Little, Certainly too Late. An Assessement of the Juncker Investment Plan. (2016). Villemot, Sébastien ; Saraceno, Francesco ; Lemoigne, Mathilde ; le Moigne, Mathilde . In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1610.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: Working Papers. RePEc:fem:femwpa:2016.70.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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2016Informed trading in oil-futures market. (2016). Sévi, Benoît ; Rousse, O. In: Working Papers. RePEc:gbl:wpaper:2016-07.

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2016PIIGS in the Euro Area. An Empirical DSGE Model. (2016). Tirelli, Patrizio ; Paccagnini, Alessia ; Albonico, Alice ; Alessia, Paccagnini ; Patrizio, Tirelli . In: Working Papers. RePEc:mib:wpaper:331.

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2016The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500. (2016). heyes, anthony ; Saberian, Soodeh ; Neidell, Matthew . In: NBER Working Papers. RePEc:nbr:nberwo:22753.

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2016Demographics and the Behavior of Interest Rates. (2016). Favero, Carlo ; Yang, Haoxi ; Gozluklu, Arie E. In: IMF Economic Review. RePEc:pal:imfecr:v:64:y:2016:i:4:d:10.1057_s41308-016-0020-2.

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2016The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?. (2016). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:72094.

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2016Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks. (2016). Wohar, Mark ; GUPTA, RANGAN ; Chang, Tsangyao ; Chen, Wen-Yi ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201625.

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2016The relationship between the real economy and financial sector regarding technological bubbles. (2016). Makovsk, Petr . In: Ekonomika a Management. RePEc:prg:jnleam:v:2016:y:2016:i:3:id:276.

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2016Probably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan. (2016). Villemot, Sébastien ; Saraceno, Francesco ; Lemoigne, Mathilde ; le Moigne, Mathilde . In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/2a4lft86ed8kqpphgfkgrdfrk1.

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2016Great Recession, Slow Recovery and Muted Fiscal Policies in the US. (2016). Tirelli, Patrizio ; Paccagnini, Alessia ; Albonico, Alice. In: Working Papers. RePEc:ucn:wpaper:201602.

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2016Do generalists profit from the fund families specialists? Evidence from mutual fund families offering sector funds. (2016). Goricke, Marc-Andre . In: CFR Working Papers. RePEc:zbw:cfrwps:1609.

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2016The winners curse on art markets. (2016). Kräussl, Roman ; Kraussl, Roman ; Mirgorodskaya, Elizaveta . In: CFS Working Paper Series. RePEc:zbw:cfswop:564.

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2016Regimes dependent speculative trading: Evidence from the United States housing market. (2016). Chen, Zhenxi. In: FinMaP-Working Papers. RePEc:zbw:fmpwps:66.

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2016What drives the relationship between bank and sovereign credit risk?. (2016). Schnabel, Isabel ; Schuwer, Ulrich . In: Working Papers. RePEc:zbw:svrwwp:072016.

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Recent citations received in 2015

YearCiting document
2015Is Switzerland an Interest Rate Island after all? Time Series and Non-Linear Switching Regime Evidence. (2015). Köhler, Ekkehard ; Feld, Lars ; Kohler, Ekkehard A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5628.

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2015Forecasting. (2015). Galuscak, Kamil ; Babecký, Jan ; Rusnak, Marek ; Polansky, Jiri ; Kopriva, Frantisek ; Humplova, Zuzana ; Holub, Tomas ; Hledik, Tibor ; Havrlant, David ; Franta, Michal ; Bruha, Jan ; Brazdik, Frantisek ; Tonner, Jaromir . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb13/1.

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2015Monetary Policy Challenges in a Low-Inflation Environment. (2015). Babecký, Jan ; Vasicek, Borek ; Solmaz, Serhat ; Plasil, Miroslav ; Mateju, Jakub ; Filacek, Jan ; Claeys, Peter ; Bruha, Jan ; Baxa, Jaromir ; Kucharcukova, Oxana Babecka ; Andrle, Michal . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb13/2.

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2015Business sustainability performance and cost of equity capital. (2015). Ng, Anthony C ; Rezaee, Zabihollah . In: Journal of Corporate Finance. RePEc:eee:corfin:v:34:y:2015:i:c:p:128-149.

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2015The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. (2015). Wu, Eliza ; Kim, Suk-Joong ; Salem, Leith . In: Journal of Financial Stability. RePEc:eee:finsta:v:18:y:2015:i:c:p:208-224.

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2015The determinants of price discovery: Evidence from US-Canadian cross-listed shares. (2015). Tourani-Rad, Alireza ; Frijns, Bart ; Gilbert, Aaron . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:457-468.

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2015Volatility Forecast in Crises and Expansions. (2015). Pypko, Sergii. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:3:p:311-336:d:53754.

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2015Correlated Defaults of UK Banks: Dynamics and Asymmetries. (2015). Zhao, Yang ; cerrato, mario ; Kim, Minjoo ; Crosby, John . In: Working Papers. RePEc:gla:glaewp:2015_24.

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2015On Consistency of Approximate Bayesian Computation. (2015). Frazier, David T ; Robert, Christian P ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-19.

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2015Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach. (2015). Naser, Hanan ; Alaali, Fatema. In: MPRA Paper. RePEc:pra:mprapa:65295.

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2015How to Choose the Level of Significance: A Pedagogical Note. (2015). Kim, Jae. In: MPRA Paper. RePEc:pra:mprapa:66373.

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2015Inflation forecasts: Are market-based and survey-based measures informative?. (2015). Meyler, Aidan ; Grothe, Magdalena . In: MPRA Paper. RePEc:pra:mprapa:66982.

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2015Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement. (2015). Kim, Jae ; Choi, In. In: MPRA Paper. RePEc:pra:mprapa:68411.

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2015The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364.

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2015Volatility Clustering: A Nonlinear Theoretical Approach. (2015). Li, Kai ; He, Xuezhong ; Wan, Chuncheng . In: Research Paper Series. RePEc:uts:rpaper:365.

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2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf. (2015). Durante, Fabrizio ; Matthias, Scherer ; Giovanni, Puccetti . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:14:n:13.

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2015Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence. (2015). Köhler, Ekkehard ; Feld, Lars ; Kohler, Ekkehard A. In: Freiburg Discussion Papers on Constitutional Economics. RePEc:zbw:aluord:1508.

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Recent citations received in 2014

YearCiting document
2014Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea ; Davidson, Russell. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def012.

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2014Economic crisis and fiscal federalism in Italy. (2014). bordignon, massimo ; Balduzzi, Paolo ; Ambrosanio, Maria . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def016.

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2014Labor mobility and fiscal policy in a currency union. (2014). Boitani, Andrea ; bordignon, massimo ; Baglioni, Angelo. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def020.

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2014Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def12.

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2014Economic crisis and fiscal federalism in Italy. (2014). Ambrosanio, Maria ; Balduzzi, Paolo ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def16.

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2014Labor mobility and fi?scal policy in a currency union. (2014). Boitani, Andrea ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def20.

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2014Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:151-170.

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2014Counter-cyclical risk aversion. (2014). Kim, Kun Ho . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:384-401.

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2014Options-implied variance and future stock returns. (2014). Qiu, Buhui ; Guo, Hui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:44:y:2014:i:c:p:93-113.

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2014Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations. (2014). Lansing, Kevin ; Ma, Jun ; KevinJ. Lansing, . In: Working Paper Series. RePEc:fip:fedfwp:2014-22.

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2014Does the presence of institutional investors in family banks affect profitability and risk? Evidence from an emerging market. (2014). TARAZI, Amine ; Setiyono, Bowo . In: Working Papers. RePEc:hal:wpaper:hal-01077118.

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2014Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso. In: MPRA Paper. RePEc:pra:mprapa:57230.

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2014Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:319.

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2014Ownership structure and dividend policy: A study of Russian public companies with dual class shares. (2014). Berezinets, I ; Alekseeva, L ; Ilina, Y. In: Working Papers. RePEc:sps:wpaper:6384.

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Recent citations received in 2013

YearCiting document
2013Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris . In: SIRE Discussion Papers. RePEc:edn:sirdps:485.

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2013Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; DE CEUSTER, Marc ; Verstegen, Kurt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411.

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2013Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris . In: Working Papers. RePEc:gla:glaewp:2013_13.

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2013Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data. (2013). Gurgul, Piotr ; Syrek, Robert . In: Managing Global Transitions. RePEc:mgt:youmgt:v:11:y:2013:i:4:p:353-373.

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2013Does purchasing power parity hold sometimes? Regime switching in real exchange rates. (2013). Yoon, Gawon ; Lee, Hwa-Taek. In: Applied Economics. RePEc:taf:applec:45:y:2013:i:16:p:2279-2294.

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Source data used to compute the impact factor of RePEc series.

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