Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Journal of Empirical Finance / Elsevier


0.83

Impact Factor

0.9

5-Years IF

57

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
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.116620.3314500043 (3%)0.05
19940.50.120.5101680.5342636312 (3.5%)30.30.04
19951.130.21.131430210.72491618161811 (4.4%)20.140.07
19960.880.231.41848601.2511032421304224 (2.2%)70.390.09
19970.440.260.851361480.7910143214484136 (3.6%)40.310.09
19981.320.281.151778801.036133141617012 (2%)20.120.1
19991.130.321.21231011371.365833034728719 (3.3%)50.220.13
20000.930.391.42191201971.6479740378512131 (3.9%)40.210.15
20011.10.391.73251452551.7651142469015620 (3.9%)80.320.14
20020.730.41.18261712691.5759544329711421 (3.5%)110.420.17
20030.90.431.35261974122.091459514611014939 (2.7%)2610.18
20041.650.481.59322294882.131183528611918948 (4.1%)120.380.19
20051.670.521.48302595192834589712818928 (3.4%)130.430.2
20061.530.511.95242837012.48718629513927131 (4.3%)190.790.2
20071.190.441.78353186802.14900546413824526 (2.9%)170.490.17
20081.630.481.96493677562.06939599614728836 (3.8%)180.370.2
20091.540.491.66604278311.9510948412917028240 (3.7%)160.270.19
20101.130.471.49624898591.7675610912319829635 (4.6%)100.160.17
20110.830.491.18625519091.6578012210123027240 (5.1%)180.290.19
20120.950.521.465060111281.8840412411826839115 (3.7%)130.260.19
20131.260.581.625065114352.22381121412834597 (2.9%)60.120.2
20140.970.61.646771816852.353281009728446624 (7.3%)130.190.2
20150.910.611.446478216272.0823211710729141914 (6%)170.270.19
20161.20.681.4210288417822.0224413115729341611 (4.5%)340.330.2
20171.040.721.176494817511.85601661733333898 (13.3%)180.280.21
20180.830.940.965101313361.3218166137347313 (%)180.280.31
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

1150
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

578
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

445
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

351
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

286
62003Improved 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

284
72007Measuring 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

270
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

247
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

244
102004Investor 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

219
111998Volatility 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

215
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

203
131993Common 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.

Full description at Econpapers || Download paper

177
141997Volatilities 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

171
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.

Full description at Econpapers || Download paper

168
162005Forecasting 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

162
172008Robust 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

150
182003A 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.

Full description at Econpapers || Download paper

143
192003Univariate 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.

Full description at Econpapers || Download paper

137
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.

Full description at Econpapers || Download paper

132
212005Testing 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

127
222009Investor 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

123
232006Instability 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

117
241997The 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.

Full description at Econpapers || Download paper

115
252002Market 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

110
261999Forecasting 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.

Full description at Econpapers || Download paper

106
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.

Full description at Econpapers || Download paper

106
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.

Full description at Econpapers || Download paper

106
292007Firm-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

100
302009Understanding 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

99
312003Predicting 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.

Full description at Econpapers || Download paper

95
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.

Full description at Econpapers || Download paper

93
331997Forecasting 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.

Full description at Econpapers || Download paper

89
341994Alternative 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.

Full description at Econpapers || Download paper

87
352004The 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

87
361998International 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.

Full description at Econpapers || Download paper

87
371997High 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.

Full description at Econpapers || Download paper

86
38CAPM 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.

Full description at Econpapers || Download paper

82
391999A 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.

Full description at Econpapers || Download paper

80
401999Economic 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.

Full description at Econpapers || Download paper

79
412005Internationally 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.

Full description at Econpapers || Download paper

76
421997Public 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.

Full description at Econpapers || Download paper

74
432011Stock 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.

Full description at Econpapers || Download paper

73
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.

Full description at Econpapers || Download paper

73
451998Testing 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.

Full description at Econpapers || Download paper

71
462005The 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

71
472003Diversification 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.

Full description at Econpapers || Download paper

70
482008Are 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

70
492008Does 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.

Full description at Econpapers || Download paper

66
502004Analysis of hedge fund performance. (2004). Hübner, Georges ; Capocci, Daniel ; Hubner, Georges . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:55-89.

Full description at Econpapers || Download paper

65

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

115
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

71
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

58
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

56
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

54
61996The 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

49
72008Robust 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

47
82007Measuring 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
91997Intraday 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

40
102005Forecasting 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

38
112009Investor 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
122009Understanding 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

32
132004Occasional 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

32
142003Emerging 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

30
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

27
162011Stock 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.

Full description at Econpapers || Download paper

25
172006Instability 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

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

23
192010A 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.

Full description at Econpapers || Download paper

22
201997Volatilities 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

21
212014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:26-40.

Full description at Econpapers || Download paper

20
222008Estimation 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.

Full description at Econpapers || Download paper

19
231996The 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

19
242004Modelling 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

18
252015Disentangling 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.

Full description at Econpapers || Download paper

17
262005The 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

17
272016Tests for explosive financial bubbles in the presence of non-stationary volatility. (2016). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, AM ; Sollis, Robert . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:548-574.

Full description at Econpapers || Download paper

17
282001The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

Full description at Econpapers || Download paper

16
292011Corporate governance and firm value: International evidence. (2011). Schmid, Markus ; Ammann, Manuel ; Oesch, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:36-55.

Full description at Econpapers || Download paper

16
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.

Full description at Econpapers || Download paper

16
312004Analysis 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.

Full description at Econpapers || Download paper

15
322011Regulatory underpricing: Determinants of Chinese extreme IPO returns. (2011). Tian, Lihui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:78-90.

Full description at Econpapers || Download paper

15
332016Financial sector linkages and the dynamics of bank and sovereign credit spreads. (2016). Lando, David ; Kallestrup, Rene ; Murgoci, Agatha . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:374-393.

Full description at Econpapers || Download paper

15
341993Common 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.

Full description at Econpapers || Download paper

15
352012Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach. (2012). Wong, Wing-Keung ; de Peretti, Christian ; Chan, Chia-Ying ; Qiao, Zhuo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:1:p:162-174.

Full description at Econpapers || Download paper

14
362005Testing 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

14
371998Volatility 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

14
382007Firm-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

14
392015Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34.

Full description at Econpapers || Download paper

14
402016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Galbraith, John W ; Zhang, Hui Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

Full description at Econpapers || Download paper

13
412012When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying . In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

Full description at Econpapers || Download paper

13
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.

Full description at Econpapers || Download paper

13
432014Measuring 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.

Full description at Econpapers || Download paper

13
442011When 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

13
452012Stock 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.

Full description at Econpapers || Download paper

13
462003The 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.

Full description at Econpapers || Download paper

13
472003Diversification 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.

Full description at Econpapers || Download paper

13
482014Political 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.

Full description at Econpapers || Download paper

12
492006Momentum and mean reversion across national equity markets. (2006). Wu, Yangru ; Balvers, Ronald. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:1:p:24-48.

Full description at Econpapers || Download paper

12
502007Predictable 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.

Full description at Econpapers || Download paper

12

Citing documents used to compute impact factor 137:


YearTitle
2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

Full description at Econpapers || Download paper

2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

Full description at Econpapers || Download paper

2018Reviews of Books and Teaching Materials. (2018). Editors, The. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:2:p:206-212.

Full description at Econpapers || Download paper

2018Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80.

Full description at Econpapers || Download paper

2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Roubaud, David ; Bouri, Elie ; Ji, Qiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

Full description at Econpapers || Download paper

2018Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

Full description at Econpapers || Download paper

2018The impact of M&A strategies on the operating performance and investments of European IPO firms. (2018). Giudici, Giancarlo ; Bonaventura, Matteo. In: Journal of Economics and Business. RePEc:eee:jebusi:v:95:y:2018:i:c:p:59-74.

Full description at Econpapers || Download paper

2018Firms’ performance following the initial resignation of independent directors: evidence from Taiwan. (2018). Huang, Hsu-Huei ; Chan, Chin-Yin. In: Asia Pacific Business Review. RePEc:taf:apbizr:v:24:y:2018:i:5:p:714-729.

Full description at Econpapers || Download paper

2018Is Commodity Index Investing Profitable?. (2018). Prokopczuk, Marcel ; Fethke, Tobias. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-635.

Full description at Econpapers || Download paper

2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

Full description at Econpapers || Download paper

2018Forecasting the prices of crude oil: An iterated combination approach. (2018). Zhang, Yaojie ; Huang, Dengshi ; Shi, Benshan ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:472-483.

Full description at Econpapers || Download paper

2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

Full description at Econpapers || Download paper

2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

Full description at Econpapers || Download paper

2018Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Papers. RePEc:arx:papers:1710.03252.

Full description at Econpapers || Download paper

2018Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92.

Full description at Econpapers || Download paper

2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

Full description at Econpapers || Download paper

2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

Full description at Econpapers || Download paper

2018The rise before the close: Underwriter trading around SEOs. (2018). Foley, Sean ; Svec, Jiri ; Low, Siyuan Adrian ; Kwan, Amy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:221-235.

Full description at Econpapers || Download paper

2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

Full description at Econpapers || Download paper

2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

Full description at Econpapers || Download paper

2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

Full description at Econpapers || Download paper

2018Does US Economic Policy Uncertainty matter for European stock markets volatility?. (2018). Mei, Dexiang ; Hou, Wenjing ; Zhang, Yaojie ; Zeng, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221.

Full description at Econpapers || Download paper

2018Do institutions trade ahead of false news? Evidence from an emerging market. (2018). Li, Qian ; Bao, Liang ; Wang, Jiamin. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:98-113.

Full description at Econpapers || Download paper

2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

Full description at Econpapers || Download paper

2018Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:196-212.

Full description at Econpapers || Download paper

2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

Full description at Econpapers || Download paper

2018Bid–ask spread and liquidity searching behaviour of informed investors in option markets. (2018). Verousis, Thanos ; CAON, Carlos ; Bernales, Alejandro. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:96-102.

Full description at Econpapers || Download paper

2018Size matters everywhere: Decomposing the small country and small industry premia. (2018). Umutlu, Mehmet ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:1-18.

Full description at Econpapers || Download paper

2018Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

Full description at Econpapers || Download paper

2018Evaluation of academic finance conferences. (2018). Kerl, Alexander ; Walter, Andreas ; Miersch, Enrico. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:26-38.

Full description at Econpapers || Download paper

2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

Full description at Econpapers || Download paper

2018Real‐Time Monitoring for Explosive Financial Bubbles. (2018). Taylor, Robert ; Harvey, David ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J ; Astill, Sam. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:863-891.

Full description at Econpapers || Download paper

2018Reorienting Finance Towards Energy Efficiency: The Case of UK Housing. (2018). Foxon, Timothy ; Bergman, Noam. In: SPRU Working Paper Series. RePEc:sru:ssewps:2018-05.

Full description at Econpapers || Download paper

2018Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?. (2018). Muoz, Fernando ; Vicente, Ruth . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:181-193.

Full description at Econpapers || Download paper

2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

Full description at Econpapers || Download paper

2018The Conductive and Predictive Effect of Oil Price Fluctuations on China’s Industry Development Based on Mixed-Frequency Data. (2018). Chai, Jian ; Su, Siping ; Chen, Xiaofeng ; Lai, Kin Keung ; Zhou, Xiaoyang ; Cao, Puju. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1372-:d:149403.

Full description at Econpapers || Download paper

2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

Full description at Econpapers || Download paper

2018Cognitive reference points, institutional investors bid prices, and IPO pricing: Evidence from IPO auctions in China. (2018). Gao, Shenghao ; Chan, Kam C ; Meng, Qingbin. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:124-140.

Full description at Econpapers || Download paper

2018Investor sentiment and the price of oil. (2018). Qadan, Mahmoud ; Nama, Hazar. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:42-58.

Full description at Econpapers || Download paper

2018Financial development and income distribution inequality in the euro area. (2018). MORANA, CLAUDIO ; Baiardi, Donatella . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:40-55.

Full description at Econpapers || Download paper

2018A residual-based multivariate constant correlation test. (2018). Wied, Dominik ; Duan, Fang. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0675-y.

Full description at Econpapers || Download paper

2018A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

Full description at Econpapers || Download paper

2018Network-based asset allocation strategies. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Tomas. In: EconStor Preprints. RePEc:zbw:esprep:180063.

Full description at Econpapers || Download paper

2018Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market. (2018). Wang, Gang-Jin ; Ma, Chaoqun ; Wen, Danyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:903-918.

Full description at Econpapers || Download paper

2018Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112.

Full description at Econpapers || Download paper

2018Asset allocation: new evidence through network approaches. (2018). Clemente, Gian Paolo ; Hitaj, Asmerilda ; Grassi, Rosanna. In: Papers. RePEc:arx:papers:1810.09825.

Full description at Econpapers || Download paper

2018Multiple credit ratings and market heterogeneity. (2018). Tran, Vu ; ap Gwilym, Owain ; Alsakka, Rasha. In: Working Papers. RePEc:swn:wpaper:2018-26.

Full description at Econpapers || Download paper

2018Testing the predictability of commodity prices in stock returns: A new perspective. (2018). Salisu, Afees ; Raheem, Ibrahim D ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0061.

Full description at Econpapers || Download paper

2018Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices. (2018). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504.

Full description at Econpapers || Download paper

2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:35-62.

Full description at Econpapers || Download paper

2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:35-62.

Full description at Econpapers || Download paper

2018Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. (2018). Trapin, Luca ; Bee, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:45-:d:142858.

Full description at Econpapers || Download paper

2018New evidence on asymmetric return–volume dependence and extreme movements. (2018). Wang, Yi-Chiuan ; Lai, Yi-Hao ; Wu, Jyh-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:212-227.

Full description at Econpapers || Download paper

2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

Full description at Econpapers || Download paper

2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

Full description at Econpapers || Download paper

2018On the ranking consistency of global systemic risk measures: empirical evidence. (2018). Abendschein, Michael ; Grundke, Peter. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181623.

Full description at Econpapers || Download paper

2018A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

Full description at Econpapers || Download paper

2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

Full description at Econpapers || Download paper

2018Index futures volatility and trading activity: Measuring causality at a multiple horizon. (2018). Tiwari, Aviral ; Shahbaz, Muhammad ; Roubaud, David ; Jena, Sangram Keshari. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:247-255.

Full description at Econpapers || Download paper

2018Renminbi exchange rate assessment and competitors exports: New perspective. (2018). Lee, Chien-Chiang ; Zeng, Jhih-Hong ; Chen, Pei-Fen . In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:187-205.

Full description at Econpapers || Download paper

2018The impact of Chinese financial markets on commodity currency exchange rates. (2018). Ma, Xiuying ; Wang, Chengqi ; Xu, Xiangyun ; Yang, Zhihua. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:186-198.

Full description at Econpapers || Download paper

2018The effect of health shocks on financial risk preferences differs by personality traits. (2018). Rice, Nigel ; Jones, Andrew ; Robone, S. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:18/07.

Full description at Econpapers || Download paper

2018Unemployment and Inflation: Evidence of a Nonlinear Phillips Curve in the Eurozone. (2018). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: MPRA Paper. RePEc:pra:mprapa:87122.

Full description at Econpapers || Download paper

2018Air pollution, stock returns, and trading activities in China. (2018). Lu, Jing ; Hao, Ying ; Wu, Qinqin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:342-365.

Full description at Econpapers || Download paper

2018Do Chinese internet stock message boards convey firm-specific information?. (2018). Shen, Dehua ; Zhang, Wei ; Li, Xiao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:1-14.

Full description at Econpapers || Download paper

2018The dynamic cross-correlations between foreign news, local news and stock returns. (2018). Zhang, Wei ; Shen, Dehua ; Li, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:861-872.

Full description at Econpapers || Download paper

2018Bank stability and refinancing operations during the crisis: Which way causality?. (2018). Arnold, Ivo ; Soederhuizen, Beau. In: Research in International Business and Finance. RePEc:eee:riibaf:v:43:y:2018:i:c:p:79-89.

Full description at Econpapers || Download paper

2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

Full description at Econpapers || Download paper

2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Kearney, Fearghal ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Vigne, Samuel A ; Yarovaya, Larisa ; Neville, Conor ; Helbing, Pia ; Lucey, Brian M ; Wolfe, Simon ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2018 Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach. (2018). Ferreiro, Javier Ojea. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1812.

Full description at Econpapers || Download paper

2018The maple bubble: A history of migration among Canadian provinces. (2018). Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Journal of Housing Economics. RePEc:eee:jhouse:v:41:y:2018:i:c:p:57-71.

Full description at Econpapers || Download paper

2018Blockchain-Based ICOs: Pure Hype or the Dawn of a New Era of Startup Financing?. (2018). Ante, Lennart ; Fiedler, Ingo ; Sandner, Philipp . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:80-:d:184453.

Full description at Econpapers || Download paper

2018Risk, competition and efficiency in banking: Evidence from China. (2018). Floros, Christos ; Tan, Yong. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:223-236.

Full description at Econpapers || Download paper

2018Financial stability, competitiveness and banks innovation capacity: Evidence from the Global Financial Crisis. (2018). Tzeremes, Nickolaos ; Evi, Aleksandar ; Grant, Kevin ; Degl, Marta. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:35-46.

Full description at Econpapers || Download paper

2018Border is better than distance? Contagious corruption in one belt one road economies. (2018). Feng, Gen-Fu ; Chang, Chun-Ping ; Jiang, Chun-Xia ; Dong, Min-Yi ; Sui, BO. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:52:y:2018:i:4:d:10.1007_s11135-017-0579-3.

Full description at Econpapers || Download paper

2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

Full description at Econpapers || Download paper

2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

Full description at Econpapers || Download paper

2018Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models. (2018). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201807.

Full description at Econpapers || Download paper

2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market. (2018). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Working Papers. RePEc:wat:wpaper:1806.

Full description at Econpapers || Download paper

2018Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?. (2018). Haykir, Ozkan. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-02-19.

Full description at Econpapers || Download paper

2018DSGE Models with Observation-Driven Time-Varying parameters. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180030.

Full description at Econpapers || Download paper

2018Financial development and innovation: A DSGE comparison of Chinese and US business cycles. (2018). Middleditch, Paul ; Zhang, Shuonan ; Haque, Emranul M. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:244.

Full description at Econpapers || Download paper

2018Time varying cointegration and the UK great ratios. (2018). Kapetanios, George ; Price, Simon ; Petrova, Katerina ; Millard, Stephen. In: CAMA Working Papers. RePEc:een:camaaa:2018-53.

Full description at Econpapers || Download paper

2018Time varying cointegration and the UK Great Ratios. (2018). Kapetanios, George ; Petrova, Katerina ; Price, Simon ; Millard, Stephen. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23320.

Full description at Econpapers || Download paper

2018Bank leverage limits and regulatory arbitrage: new evidence on a recurring question. (2018). Morgan, Donald ; Choi, Dong Beom ; Holcomb, Michael R. In: Staff Reports. RePEc:fip:fednsr:856.

Full description at Econpapers || Download paper

2018Credit risk in European banks: The bright side of the internal ratings based approach. (2018). Cucinelli, Doriana ; Nieri, Laura ; marchese, malvina ; di Battista, Maria Luisa . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:213-229.

Full description at Econpapers || Download paper

2018“The robustness of the sovereign-bank interconnection: Evidence from contingent claims analysis”. (2018). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:201804.

Full description at Econpapers || Download paper

2018Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors. (2018). Wing, Tom Pak ; Fu, John ; Li, Ka-Fai . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:98-110.

Full description at Econpapers || Download paper

2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

Full description at Econpapers || Download paper

2018Regulating the doom loop. (2018). Langfield, Sam ; Alogoskoufis, Spyros. In: ESRB Working Paper Series. RePEc:srk:srkwps:201874.

Full description at Econpapers || Download paper

2018Financial stability in Europe: Banking and sovereign risk. (2018). Kočenda, Evžen ; Bruha, Jan ; Koenda, Even ; Brha, Jan. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:305-321.

Full description at Econpapers || Download paper

2018Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment. (2018). Breckenfelder, Johannes ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20182193.

Full description at Econpapers || Download paper

2018Safe Haven CDS Premiums. (2018). Lando, David ; Klinger, Sven. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12694.

Full description at Econpapers || Download paper

2018Simulating historical inflation-linked bond returns. (2018). Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:374-389.

Full description at Econpapers || Download paper

2018Asymmetric attention and volatility asymmetry. (2018). Dzieliski, Micha ; Talpsepp, Tnn ; Rieger, Marc Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:59-67.

Full description at Econpapers || Download paper

2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Working Papers. RePEc:qed:wpaper:1405.

Full description at Econpapers || Download paper

2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

Full description at Econpapers || Download paper

2018A Matlab program and user’s guide for the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Popiel, Michac Ksawery. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274656.

Full description at Econpapers || Download paper

2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274731.

Full description at Econpapers || Download paper

2018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2018). Dolatabadi, Sepideh ; Xu, KE ; Nielsen, Morten Orregaard ; Narayan, Paresh Kumar. In: CREATES Research Papers. RePEc:aah:create:2018-35.

Full description at Econpapers || Download paper

2018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

Full description at Econpapers || Download paper

2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

Full description at Econpapers || Download paper

2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

Full description at Econpapers || Download paper

2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

Full description at Econpapers || Download paper

2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

Full description at Econpapers || Download paper

2018Modeling extreme risks in commodities and commodity currencies. (2018). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120.

Full description at Econpapers || Download paper

2018EU banks after the crisis: sinners in the hands of angry markets. (2018). Sánchez Serrano, Antonio. In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:1:y:2018:i:9:p:24-51.

Full description at Econpapers || Download paper

2018Forecasting distress in cooperative banks: The role of asset quality. (2018). Migliardo, Carlo ; Forgione, Antonio Fabio . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:678-695.

Full description at Econpapers || Download paper

2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

Full description at Econpapers || Download paper

2018PREDICTING DEFAULT MORE ACCURATELY: TO PROXY OR NOT TO PROXY FOR DEFAULT. (2018). Galil, Koresh ; Gilat, Neta. In: Working Papers. RePEc:bgu:wpaper:1801.

Full description at Econpapers || Download paper

2018Relative spread and price discovery. (2018). Aldrich, Eric M ; Lee, Seung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:81-98.

Full description at Econpapers || Download paper

2018Cultural and economic value: A (p)review. (2018). Angelini, Francesco ; Castellani, Massimiliano. In: Working Paper series. RePEc:rim:rimwps:17-10.

Full description at Econpapers || Download paper

2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

Full description at Econpapers || Download paper

2018The painting can be fake, but not the feeling’: an overview of the Vietnamese market through the lens of fake, forgery and copy paintings. (2018). Vuong, Thu-Trang ; Toan, Ho ; Ho, Tung ; Nguyen-To, Hong Kong. In: Working Papers CEB. RePEc:sol:wpaper:2013/271459.

Full description at Econpapers || Download paper

2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

Full description at Econpapers || Download paper

2018Dynamics of the Turkish paintings market: A comprehensive empirical study. (2018). Gözgör, Giray ; Demir, Ender ; Sari, Emre. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:180-194.

Full description at Econpapers || Download paper

2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor N. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

Full description at Econpapers || Download paper

2018Fiscal policy within the DSGE-VAR framework. (2018). Franta, Michal ; Babecký, Jan ; Ryanek, Jakub . In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:23-37.

Full description at Econpapers || Download paper

2018Medición de la vulnerabilidad monetaria en el área latinoamericana bajo un enfoque de señales ?móviles?/Measurement of Monetary Vulnerability in the Latin American Area using a. (2018). Medina, Eva ; Perucha, David Salvador ; Moral, Eva Medina . In: Estudios de Economía Aplicada. RePEc:lrk:eeaart:36_2_12.

Full description at Econpapers || Download paper

2018Financial development and the occurrence of banking crises. (2018). Mathonnat, Clement ; Minea, Alexandru. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:344-354.

Full description at Econpapers || Download paper

2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

Full description at Econpapers || Download paper

2018Estimation of the common component in Dynamic Factor Models. (2018). Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

Full description at Econpapers || Download paper

2018Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?. (2018). Oxley, Les ; Hu, Yang. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134.

Full description at Econpapers || Download paper

2018Real‐Time Monitoring for Explosive Financial Bubbles. (2018). Taylor, Robert ; Harvey, David ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J ; Astill, Sam. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:863-891.

Full description at Econpapers || Download paper

2018Investor sentiment and the mean-variance relationship: European evidence. (2018). Wang, Wenzhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:227-239.

Full description at Econpapers || Download paper

2018International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment. (2018). Heckelei, T ; Grosche, S ; Amrouk, E M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277376.

Full description at Econpapers || Download paper

2018Inflation, Inflation Uncertainty, and Growth: Evidence from Ghana. (2018). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: MPRA Paper. RePEc:pra:mprapa:85191.

Full description at Econpapers || Download paper

2018“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201803.

Full description at Econpapers || Download paper

2018“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201806.

Full description at Econpapers || Download paper

2018Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment. (2018). Herwartz, Helmut ; Rohloff, Hannes. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:358.

Full description at Econpapers || Download paper

2018Trade and capital flows - substitutes or complements? An empirical investigation. (2018). Belke, Ansgar ; Domnick, Clemens. In: Ruhr Economic Papers. RePEc:zbw:rwirep:776.

Full description at Econpapers || Download paper

2018Sovereign risk and asset market dynamics in the euro area. (2018). Perego, Erica . In: Documents de recherche. RePEc:eve:wpaper:18-01.

Full description at Econpapers || Download paper

2018The Value Premium During Flights. (2018). Galvani, Valentina. In: Working Papers. RePEc:ris:albaec:2018_018.

Full description at Econpapers || Download paper

2018Sovereign Risk and Asset Market Dynamics in the Euro Area. (2018). Perego, Erica . In: Working Papers. RePEc:cii:cepidt:2018-18.

Full description at Econpapers || Download paper

2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

Full description at Econpapers || Download paper

2018To be bailed out or to be left to fail? A dynamic competing risks hazard analysis. (2018). Papanikolaou, Nikolaos. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:61-85.

Full description at Econpapers || Download paper

2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

Full description at Econpapers || Download paper

2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

Full description at Econpapers || Download paper

2018Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325.

Full description at Econpapers || Download paper

2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

Full description at Econpapers || Download paper

2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

Full description at Econpapers || Download paper

2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Daly, Kevin ; Ahmad, Wasim. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:117-133.

Full description at Econpapers || Download paper

2018What makes the bonding stick? A natural experiment testing the legal bonding hypothesis. (2018). Licht, Amir N ; Siegel, Jordan I ; Poliquin, Christopher . In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:329-356.

Full description at Econpapers || Download paper

2018Equity market momentum: A synthesis of the literature and suggestions for future work. (2018). Subrahmanyam, Avanidhar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:291-296.

Full description at Econpapers || Download paper

2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

Full description at Econpapers || Download paper

2018Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:107290.

Full description at Econpapers || Download paper

2018Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:110015.

Full description at Econpapers || Download paper

2018Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform. (2018). Hamori, Shigeyuki ; Kinkyo, Takuji ; Xu, Lei. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:86-:d:187697.

Full description at Econpapers || Download paper

2018Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2125-:d:153797.

Full description at Econpapers || Download paper

2018The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data. (2018). Wohar, Mark ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201851.

Full description at Econpapers || Download paper

2018On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864.

Full description at Econpapers || Download paper

2018Asymmetric Information, Predictability and Momentum in the Corporate Bond Market. (2018). Galvani, Valentina ; Li, Lifang . In: Working Papers. RePEc:ris:albaec:2018_017.

Full description at Econpapers || Download paper

2018Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180048.

Full description at Econpapers || Download paper

2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1814.

Full description at Econpapers || Download paper

Recent citations received in 2017

YearCiting document
2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

Full description at Econpapers || Download paper

2017Successive short‐selling ban lifts and gradual price efficiency: evidence from China. (2017). Xiong, Xiong ; Feng, XU ; Gao, YA. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1557-1604.

Full description at Econpapers || Download paper

2017MARKETING STRATEGY AFTER MEETING WALL STREET: THE ROLE OF INFORMATION ASYMMETRY. (2017). Ma, Minghui ; Huang, Jian ; Dewally, Michael. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:369-400.

Full description at Econpapers || Download paper

2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Fund Performance and Equity Lending: Why Lend What You Can Sell?. (2017). Ferreira, Miguel ; Prado, Melissa Porras ; Evans, Richard . In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:3:p:1093-1121..

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility. (2017). Wohar, Mark ; GUPTA, RANGAN ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201770.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Tests for an end-of-sample bubble in financial time series. (2017). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Astill, Sam. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:651-666.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01410093.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 3th 2019. Contact: CitEc Team