Research Repository

Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2013

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Number of items: 32.

A

Astill, S and Harvey, DI and Robert Taylor, AM (2013) 'A bootstrap test for additive outliers in non-stationary time series.' Journal of Time Series Analysis, 34 (4). 454 - 465. ISSN 0143-9782

ap Gwilym, Owain and Verousis, Thanos (2013) 'Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level.' Journal of Futures Markets, 33 (1). 55 - 76. ISSN 0270-7314

C

Calabrese, Raffaella (2013) 'Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme.' Statistics & Probability Letters, 83 (1). pp. 272-277. ISSN 0167-7152

Calabrese, Raffaella (2013) 'A probabilistic scheme with uniform correlation structure.' Statistics in Transition, 14 (1). pp. 129-138. ISSN 1234-7655

Calabrese, Raffaella and Osmetti, Silvia Angela (2013) 'Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model.' Journal of Applied Statistics, 40 (6). pp. 1172-1188. ISSN 0266-4763

Casu, B and Clare, A and Sarkisyan, A and Thomas, S (2013) 'Securitization and Bank Performance.' Journal of Money, Credit and Banking, 45 (8). 1617 - 1658. ISSN 0022-2879

Cavaliere, G and Taylor, AMR and Trenkler, C (2013) 'Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.' Econometric Reviews, 32 (7). 814 - 847. ISSN 0747-4938

Cavaliere, Giuseppe and Georgiev, Iliyan and Robert Taylor, AM (2013) 'Wild Bootstrap of the Sample Mean in the Infinite Variance Case.' Econometric Reviews, 32 (2). 204 - 219. ISSN 0747-4938

Chortareas, GE and Girardone, C and Ventouri, A (2013) 'Financial freedom and bank efficiency: Evidence from the European Union.' Journal of Banking and Finance, 37 (4). 1223 - 1231. ISSN 0378-4266

Chronopoulos, DK and Girardone, C and Nankervis, JC (2013) 'How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?' Journal of Financial Services Research, 43 (3). 243 - 263. ISSN 0920-8550

D

Del Barrio Castro, T and Rodrigues, PMM and Taylor, AMR (2013) 'The impact of persistent cycles on zero frequency unit root tests.' Econometric Theory, 29 (6). 1289 - 1313. ISSN 0266-4666

Dunis, C and Kellard, NM and Snaith, S (2013) 'Forecasting EUR-USD implied volatility: The case of intraday data.' Journal of Banking and Finance, 37 (12). 4943 - 4957. ISSN 0378-4266

F

Frantz, P and Instefjord, N (2013) 'Corporate governance and the cost of borrowing.' Journal of Business Finance and Accounting, 40 (7-8). 918 - 948. ISSN 0306-686X

Frantz, P and Instefjord, N and Walker, M (2013) 'Executive compensation: A model of disclosure choice.' Journal of Business Finance and Accounting, 40 (9-10). 1184 - 1220. ISSN 0306-686X

G

Gassebner, M and Lamla, MJ and Vreeland, JR (2013) 'Extreme Bounds of Democracy.' Journal of Conflict Resolution, 57 (2). 171 - 197. ISSN 0022-0027

Girardone, C and Hamill, PA and Wilson, J (2013) 'Contemporary issues in financial markets and institutions.' European Journal of Finance, 19 (9). 811 - 814. ISSN 1351-847X

H

Harvey, DI and Leybourne, SJ and Taylor, AMR (2013) 'Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics.' Journal of Econometrics, 177 (2). 265 - 284. ISSN 0304-4076

I

Iacone, F and Leybourne, SJ and Robert Taylor, AM (2013) 'Testing for a break in trend when the order of integration is unknown.' Journal of Econometrics, 176 (1). 30 - 45. ISSN 0304-4076

Iacone, F and Leybourne, SJ and Taylor, AMR (2013) 'On the behavior of fixed-b trend break tests under fractional integration.' Econometric Theory, 29 (2). 393 - 418. ISSN 0266-4666

J

Jitmaneeroj, Boonlert and Wood, Andrew (2013) 'The expectations hypothesis: New hope or illusory support?' Journal of Banking & Finance, 37 (3). 1084 - 1092. ISSN 0378-4266

K

Koop, G and Korobilis, D (2013) 'Large time-varying parameter VARs.' Journal of Econometrics, 177 (2). 185 - 198. ISSN 0304-4076

Korobilis, D (2013) 'Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models.' Oxford Bulletin of Economics and Statistics, 75 (2). 157 - 179. ISSN 0305-9049

Korobilis, D (2013) 'Bayesian forecasting with highly correlated predictors.' Economics Letters, 118 (1). 148 - 150. ISSN 0165-1765

Korobilis, D (2013) 'Hierarchical shrinkage priors for dynamic regressions with many predictors.' International Journal of Forecasting, 29 (1). 43 - 59. ISSN 0169-2070

Korobilis, D (2013) 'VAR FORECASTING USING BAYESIAN VARIABLE SELECTION.' Journal of Applied Econometrics, 28 (2). 204 - 230. ISSN 0883-7252

M

Meng, Lei and Verousis, Thanos and ap Gwilym, Owain (2013) 'A substitution effect between price clustering and size clustering in credit default swaps.' Journal of International Financial Markets, Institutions and Money, 24. 139 - 152. ISSN 1042-4431

S

Sarkisyan, A and Casu, B (2013) Retained Interests in Securitisations and Implications for Bank Solvency. UNSPECIFIED. European Central Bank Working Papers 1538..

Shen, Z and Coakley, J and Instefjord, N (2013) 'Investor participation and underpricing in lottery-allocated Chinese IPOs.' Pacific Basin Finance Journal, 25. 294 - 314. ISSN 0927-538X

Snaith, S and Coakley, J and Kellard, N (2013) 'Does the forward premium puzzle disappear over the horizon?' Journal of Banking and Finance, 37 (9). 3681 - 3693. ISSN 0378-4266

V

Verousis, Thanos (2013) 'Bid-ask Spreads, Commissions, and Other Costs.' In: Baker, H Kent and Kiymaz, Halil, (eds.) Market Microstructure in Emerging and Developed Markets. Wiley. ISBN 9781118278444

Verousis, Thanos and ap Gwilym, Owain (2013) 'Return reversals and the compass rose: insights from high frequency options data.' In: Wilson, John OS and Casu, Barbara and McMillan, David, (eds.) Contemporary Issues in Financial Institutions and Markets (vol 1). Routledge. ISBN 9780415645133

Verousis, Thanos and ap Gwilym, Owain (2013) 'Trade size clustering and the cost of trading at the London Stock Exchange.' International Review of Financial Analysis, 27. 91 - 102. ISSN 1057-5219

This list was generated on Sun Apr 21 22:13:05 2019 BST.