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Journal of Empirical Finance / Elsevier


0.89

Impact Factor

0.98

5-Years IF

53

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
19930.16620.3312740041 (3.2%)0.05
19940.50.110.5101680.5305636312 (3.9%)30.30.05
19950.880.20.881430170.572341614161411 (4.7%)20.140.07
19960.880.231.331848581.2110032421304022 (2.2%)70.390.09
19970.470.270.851361480.799263215484133 (3.6%)40.310.09
19981.230.281.031778730.945373138616312 (2.2%)20.120.1
19991.10.321.17231011331.325463033728419 (3.5%)50.220.13
20000.80.41.31191201831.5367440328511127 (4%)30.160.15
20011.10.41.7251452511.7345642469015320 (4.4%)80.320.15
20020.70.411.13261712571.553244319711020 (3.8%)100.380.18
20030.90.441.31261974022.041285514611014439 (3%)2610.19
20041.630.481.57322294742.071000528511918747 (4.7%)120.380.2
20051.670.531.42302595031.94723589712818226 (3.6%)130.430.21
20061.440.511.86242836662.35619628913925829 (4.7%)190.790.2
20071.170.451.63353186171.94771546313822521 (2.7%)170.490.18
20081.560.471.86493677051.92779599214727435 (4.5%)140.290.19
20091.390.471.47604277361.729118411717025035 (3.8%)150.250.19
20101.110.451.4624897771.5962110912119827732 (5.2%)80.130.16
20110.80.511.14625518661.576111229823026333 (5.4%)180.290.2
20120.950.541.435060110901.8130412411826838213 (4.3%)130.260.2
20131.190.621.55065113392.061811121332834242 (1.1%)50.10.22
20140.880.631.496771815302.132441008828442222 (9%)140.210.21
20150.890.661.336478214841.915311710429138810 (6.5%)170.270.21
20161.160.81.3110288415911.81251311522933856 (4.8%)330.320.24
20170.891.10.986494814631.54161661483333281 (6.3%)140.220.31
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 ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

1011
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

527
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

396
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

287
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

269
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

235
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

228
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.

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217
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

201
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

194
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

184
122009International 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

163
131997Volatilities 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.

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161
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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155
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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145
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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137
172005Forecasting 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.

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132
182003Univariate 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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128
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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117
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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112
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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107
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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102
231999Forecasting 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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98
242006Instability 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

98
252009Investor 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.

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98
262002Market 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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98
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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93
282004Market 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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92
292003Predicting 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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90
301997High 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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86
311997Forecasting 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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85
322007Firm-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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84
332000Sensitivity 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
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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76
351994Alternative 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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75
362009Understanding 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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74
371999A 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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74
382004The 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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72
391998International 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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71
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
42CAPM 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
432005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Schlag, Christian ; Melvin, Michael ; Grammig, Joachim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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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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63
452001Testing and comparing Value-at-Risk measures. (2001). Inoue, Atsushi ; Hahn, Jinyong ; Christoffersen, Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342.

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61
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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56
482008Does 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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56
492008Are 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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54
501997The 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

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 ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

130
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

77
32004Investor 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

57
42003Improved 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

55
52000Estimation 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

50
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

46
72004Occasional 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

46
81997Intraday 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

45
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

42
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

37
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

35
121996The 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

31
131996The 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

29
142004Market 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

27
152011Stock 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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24
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

24
172009Understanding 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

24
182004The 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
192006Instability 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

21
202003Emerging 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

20
212010A 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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19
222005Testing 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

19
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

19
242011Robust 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.

Full description at Econpapers || Download paper

18
252007Firm-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

18
262008Are 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.

Full description at Econpapers || Download paper

17
272009Applying 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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17
282012Stock 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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16
292008Estimation 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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16
302006Are 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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16
312005The 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

15
321998Volatility 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.

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15
332007Predictable 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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342008UK 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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352010Local 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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362014Measuring and testing for the systemically important financial institutions. (2014). Castro Iragorri, Carlos ; Ferrari, Stijn . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:1-14.

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372014Modelling 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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381993Common 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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13
392016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Zhang, Hui Jun ; Galbraith, John W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

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401999Forecasting 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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412014Political uncertainty and bank loan contracting. (2014). HASAN, IFTEKHAR ; Francis, Bill B. ; Zhu, Yun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:281-286.

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422002Market 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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13
432010Loss-aversion and household portfolio choice. (2010). Kouwenberg, Roy ; Dimmock, Stephen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:441-459.

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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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452004Analysis 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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12
462011When 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.

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472015Disentangling contagion among sovereign CDS spreads during the European debt crisis. (2015). Perez Quiros, Gabriel ; Broto, Carmen ; Perez-Quiros, Gabriel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:165-179.

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482003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange. (2003). Cho, David D. ; Tsay, Ruey ; Russell, Jeffrey ; Tiao, George C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:133-168.

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492008Quantile 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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502008Regression 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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Citing documents used to compute impact factor 148:


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2017Institutional investors’ activism and credit ratings. (2017). Farooqi, Javeria ; Jory, Surendranath ; Ngo, Thanh . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:1:d:10.1007_s12197-015-9332-8.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Linear–quadratic term structure models for negative euro area yields. (2017). Realdon, Marco ; Boonyanet, Wachira . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:149-153.

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2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619.

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2017Driving factors of interactions between the exchange rate market and the commodity market: A wavelet-based complex network perspective. (2017). Wen, Shaobo ; Liu, Xueyong ; Chen, Zhihua ; An, Haizhong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:299-308.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2017Do iron ore price bubbles occur?. (2017). Peculea, Adelina Dumitrescu ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua ; Dumitrescupeculea, Adelina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:340-346.

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2017Dynamic Relationship of Commodities prices and EUR/USD exchange rate trends in the recent past. (2017). Patane, Michele ; Zedda, Stefano ; Tedesco, Mattia . In: Department of Economics University of Siena. RePEc:usi:wpaper:759.

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2017Cross-correlations between RMB exchange rate and international commodity markets. (2017). Lu, Xinsheng ; Qian, Yubo ; Zhou, Ying ; Li, Jianfeng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:168-182.

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2017Dynamic spillover between commodities and commodity currencies during United States Q.E.. (2017). Yip, Pick Schen ; Do, Hung Xuan ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:399-410.

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2017Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas. (2017). Shahbaz, Muhammad ; Mensi, Walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:476-495.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017The Greek Dra(ch)ma: 5 Years of Austerity. The Three Economists’ View and a Comment.. (2017). Karanasos, Menelaos ; Sala, Hector ; Karanassou, Marika ; Htgioannides, John ; Koutroumpis, Panagiotis. In: GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe. RePEc:hel:greese:113.

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2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

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2017Evaluating demand charge reduction for commercial-scale solar PV coupled with battery storage. (2017). Park, Alex ; Lappas, Petros . In: Renewable Energy. RePEc:eee:renene:v:108:y:2017:i:c:p:523-532.

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2017When Will Occur the Crude Oil Bubbles?. (2017). Su, Chi-Wei ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Li, Zheng-Zheng . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

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2017Economic freedom and crashes in financial markets. (2017). Blau, Benjamin M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:33-46.

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2017A time varying parameter structural model of the UK economy. (2017). Waldron, Matt ; Masolo, Riccardo M. ; Kapetanios, George ; Petrova, Katerina . In: Bank of England working papers. RePEc:boe:boeewp:0677.

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2017The changing international network of sovereign debt and financial institutions. (2017). Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: Working Papers. RePEc:tas:wpaper:23500.

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2017Sovereign and bank Interdependencies—Evidence from the CDS market. (2017). Yu, Sherry. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:68-84.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2017What Drives the Sovereign-Bank Nexus?. (2017). Schnabel, Isabel ; Schuwer, Ulrich. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168259.

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2017Monetary Policy and Inflation: Is there a Neo- Fisher Effect? Evidence from Inflation Targeting Countries in Central and Eastern Europe. (2017). Ioana, Pleecau . In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xvii:y:2017:i:1:p:578-583.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Sren . In: Working Papers. RePEc:qed:wpaper:1394.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kočenda, Evžen ; Bruha, Jan ; Kocenda, Even . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6453.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo N. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed . In: MPRA Paper. RePEc:pra:mprapa:78595.

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2017Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders . In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2017The Future of Eurozone Fiscal Governance. (2017). Kocher, Martin ; Heinemann, Friedrich ; Gros, Daniel ; Fuest, Clemens ; Tamborini, Roberto ; Delatte, Anne-Laure . In: EconPol Policy Reports. RePEc:ces:econpr:_1.

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2017Cultural and economic value: A (p)review. (2017). Angelini, Francesco ; Castellani, Massimiliano . In: Working Paper Series. RePEc:rim:rimwps:17-10.

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2017Inflation bias and markup shocks in a LAMP model with strategic interaction of monetary and fiscal policy. (2017). rossi, lorenza ; Albonico, Alice. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:52:y:2017:i:c:p:39-55.

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2017Debunking the Myth of Southern Profligacy. A DSGE Analysis of Business Cycles in the EMU’s Big Four. (2017). Albonico, Alice ; Patrizio, Tirelli ; Roberta, Cardani . In: Working Papers. RePEc:mib:wpaper:373.

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2017International house price cycles, monetary policy and credit. (2017). Bauer, Gregory. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

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2017Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. (2017). Escobari, Diego ; Mellado, Cristhian ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453.

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2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc . In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2017Testing time series for the bubbles (with application to Russian data). (2017). Sinelnikova-Muryleva, Elena ; Skrobotov, Anton . In: Applied Econometrics. RePEc:ris:apltrx:0319.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2017Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. (2017). Oxley, Les ; Hu, Yang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:419-442.

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2017Do 18th Century Bubbles Survive the Scrutiny of 21st Century Time Series Econometrics?. (2017). Oxley, Les ; Hu, Yang . In: Working Papers in Economics. RePEc:wai:econwp:17/19.

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2017Do cointegrated commodities bubble together? the case of hog, corn, and soybean. (2017). Bagnarosa, Guillaume ; Dowling, Michael ; Alexakis, Christos . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:96-102.

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2017Wealth transfer, signaling and leverage in M&A. (2017). Murray, Benjamin ; Wright, Danika ; Svec, Jiri . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:203-212.

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2017Survey-based forecast distributions for Euro Area growth and inflation: ensembles versus histograms. (2017). Kruger, Fabian. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-017-1228-3.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2017). Skintzi, Vasiliki. In: MPRA Paper. RePEc:pra:mprapa:78278.

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2017Main driving factors of the interest rate-stock market Granger causality. (2017). Jammazi, Rania ; Hammoudeh, Shawkat M ; Jareo, Francisco ; Ferrer, Roman . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:260-280.

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2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets. (2017). Fang, Libing ; Li, Lei ; Yu, Honghai . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:139-145.

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2017Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?. (2017). An, Chongsoo ; Kim, Il-Woon ; Cheh, John J. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:2:f:7_2_7.

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2017Continuous time ARMA processes: Discrete time representation and likelihood evaluation. (2017). Chambers, Marcus ; Thornton, Michael A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:48-65.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, MJ ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2017Modeling the nexus between oil shocks, inflation and commodity prices: Do Asymmetries really matter?. (2017). Shahbaz, Muhammad ; Tiwari, Aviral Kumar ; Hussain, Syed Jawad ; Raza, Naveed . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00288.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2017Political uncertainty and a firms credit risk: Evidence from the international CDS market. (2017). Liu, Jinyu ; Zhong, Rui. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:53-66.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017The adaptiveness in stock markets: testing the stylized facts in the DAX 30. (2017). Li, Youwei ; He, Xue-Zhong . In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0505-9.

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2017
2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2017New evidence on stock market reaction to dividend announcements in India. (2017). Kumar, Satish . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:327-337.

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2017The effect of shareholder activism on bondholders and stockholders. (2017). Ngo, Thanh ; Susnjara, Jurica ; Jory, Surendranath . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:328-344.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Cross-Sectional and Time-Series Momentum Returns and Market States. (2017). Nartea, Gilbert ; Cheema, Muhammad ; Man, Yimei . In: MPRA Paper. RePEc:pra:mprapa:78989.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2017Does ETF trading affect the efficiency of the underlying index?. (2017). Xu, Liao ; Yin, Xiangkang . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:82-101.

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2017Flight to quality and the predictability of reversals: The role of market states and global factors. (2017). Yuksel, Aydin ; Demirer, Riza . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1445-1454.

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2017
2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017
2017Neuere Finanzmarktaspekte von Bankenkrise, QE-Politik und EU-Bankenaufsicht. (2017). , Paul ; Kadiric, Samir . In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei239.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2017Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A.. (2017). Gannon, Gerard L ; Thuraisamy, Kannan S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:328-350.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017
2017Commodity price cycles and financial pressures in African commodities exporters. (2017). Kablan, Akassi ; Guesmi, Khaled ; Ftiti, Zied. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231.

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2017Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach. (2017). Ftiti, Zied ; Hdia, Mouna ; Jawadi, Fredj . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:567-588.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman . In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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2017Stock returns and investors mood: Good day sunshine or spurious correlation?. (2017). Kim, Jae. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:94-103.

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2017
2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Blasques, Francisco F ; Jan, Siem ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170059.

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2017Second-order expansions for maxima of dynamic bivariate normal copulas. (2017). Wang, Rui ; Peng, Zuoxiang ; Liao, Xin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:275-283.

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2017
2017
2017A comparison of alternative cash flow and discount rate news proxies. (2017). Khimich, Natalya . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:31-52.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2017Dating multiple change points in the correlation matrix. (2017). Galeano, Pedro ; Wied, Dominik . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2017Do progressive social norms affect economic outcomes? Evidence from corporate takeovers. (2017). Podolski, Edward ; Veeraraghavan, Madhu ; Rhee, Ghon S ; Chen, Yangyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:76-95.

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2017Firm network structure and innovation. (2017). Chuluun, Tuugi ; Upadhyay, Arun ; Prevost, Andrew . In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:193-214.

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2017Does the impact of board independence on large bank risks change after the global financial crisis?. (2017). Vallascas, Francesco ; Keasey, Kevin ; Mollah, Sabur. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:149-166.

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2017Do personality traits influence investors’ portfolios?. (2017). Zarri, Luca ; Bucciol, Alessandro. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:68:y:2017:i:c:p:1-12.

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2017
2017Foreign bias in Australias international equity holdings. (2017). Mishra, Anil. In: Review of Financial Economics. RePEc:eee:revfin:v:33:y:2017:i:c:p:41-54.

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2017Biases in international portfolio allocation and investor protection standards. (2017). Adegbite, Emmanuel ; Kwabi, Frank O ; Thapa, Chandra ; Paudyal, Krishna . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:66-79.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). Visvikis, I ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Hussain, Syed Jawad ; Mensi, Walid ; Nor, Safwan Mohd . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian . In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2017Sovereign default risk linkage: Implication for portfolio diversification. (2017). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:41:y:2017:i:c:p:1-16.

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2017Sovereign tail risk. (2017). Lopez-Espinosa, German ; Valderrama, Laura ; Moreno, Antonio ; Rubia, Antonio . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:174-188.

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2017
2017
2017A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. (2017). Carchano, Oscar ; Pardo, Angel ; Lucia, Julio . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-53.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2017Do analysts forecasts of term spread differential help predict directional change in exchange rates?. (2017). Baghestani, Hamid ; Toledo, Hugo . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:62-69.

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2017Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction. (2017). Tianqiong, Wang ; Saddique, Shamila ; Yang, Shu . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-83.

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2017Psychological price barriers in frontier equities. (2017). Berk, Ales S ; Lucey, Brian M ; Dowling, Michael ; Cummins, Mark . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14.

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2017Financial Hardship and Saving Behaviour: Bayesian Analysis of British Panel Data. (2017). Taylor, Karl ; Brown, Sarah ; Pareek, Bhuvanesh ; Ghosh, Pulak . In: IZA Discussion Papers. RePEc:iza:izadps:dp10910.

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2017Return expectations and risk aversion heterogeneity in household portfolios. (2017). Bucciol, Alessandro ; Pastorello, Sergio ; Miniaci, Raffaele . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:201-219.

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2017Financial Hardship and Saving Behaviour: Bayesian Analysis of British Panel Data. (2017). Taylor, Karl ; Brown, Sarah ; Pareek, Bhuvanesh ; Ghosh, Pulak . In: Working Papers. RePEc:shf:wpaper:2017011.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Large deviations for risk measures in finite mixture models. (2017). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Papers. RePEc:arx:papers:1710.03252.

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2017Adaptive Hierarchical Priors for High-Dimensional Vector Autregressions. (). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:116.

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2017
2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond . In: Working Papers. RePEc:cui:wpaper:0024.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2017
2017Do institutional investors reinforce or reduce agency problems? Earnings management and the post-IPO performance. (2017). Lo, Huai-Chun ; Kweh, Qian Long ; Wu, Ruei-Shian . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:62-76.

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2017Does the removal of the IPO lockup matter in IPO pricing?. (2017). Liu, Jinzhao ; Chan, Kam C ; Gao, Shenghao . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:246-252.

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2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahbaz, Muhammad ; Hussain, Syed Jawad ; Raza, Naveed ; Balcilar, Mehmet ; Ali, Sajid . In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710.

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2017Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638.

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2017Testing time series for the bubbles (with application to Russian data). (2017). Sinelnikova-Muryleva, Elena ; Skrobotov, Anton . In: Applied Econometrics. RePEc:ris:apltrx:0319.

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2017Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob . In: Working Papers. RePEc:tas:wpaper:23638.

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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 ; Aye, Goodness C ; Chen, Wen-Yi . 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). Ilina, Yulia ; Berezinets, Irina ; Alekseeva, L. In: Working Papers. RePEc:sps:wpaper:6384.

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

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