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

Article

Calabrese, Raffaella (2013) Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme. Statistics & Probability Letters, 83 (1). pp. 272-277. DOI https://doi.org/10.1016/j.spl.2012.09.012

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

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. DOI https://doi.org/10.1080/02664763.2013.784894

Castro, Tomás del Barrio and Rodrigues, Paulo MM and Taylor, AM Robert (2013) THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS. Econometric Theory, 29 (6). pp. 1289-1313. DOI https://doi.org/10.1017/s0266466613000066

Casu, Barbara and Clare, Andrew and Sarkisyan, Anna and Thomas, Stephen (2013) Securitization and Bank Performance. Journal of Money, Credit and Banking, 45 (8). pp. 1617-1658. DOI https://doi.org/10.1111/jmcb.12064

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). pp. 204-219. DOI https://doi.org/10.1080/07474938.2012.690660

Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2013) Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews, 32 (7). pp. 814-847. DOI https://doi.org/10.1080/07474938.2012.690677

Dunis, Christian and Kellard, Neil M and Snaith, Stuart (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance, 37 (12). pp. 4943-4957. DOI https://doi.org/10.1016/j.jbankfin.2013.08.028

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2013) Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics. Journal of Econometrics, 177 (2). pp. 265-284. DOI https://doi.org/10.1016/j.jeconom.2013.04.012

Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) Testing for a break in trend when the order of integration is unknown. Journal of Econometrics, 176 (1). pp. 30-45. DOI https://doi.org/10.1016/j.jeconom.2013.03.008

Iacone, Fabrizio and Leybourne, Stephen J and Taylor, AM Robert (2013) ON THE BEHAVIOR OF FIXED-<i>b</i> TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION. Econometric Theory, 29 (2). pp. 393-418. DOI https://doi.org/10.1017/s0266466612000291

Jitmaneeroj, B and Wood, A (2013) The expectations hypothesis: New hope or illusory support? Journal of Banking & Finance, 37 (3). pp. 1084-1092. DOI https://doi.org/10.1016/j.jbankfin.2012.11.013

Koop, G and Korobilis, D (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177 (2). pp. 185-198. DOI https://doi.org/10.1016/j.jeconom.2013.04.007

Korobilis, D (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75 (2). pp. 157-179. DOI https://doi.org/10.1111/j.1468-0084.2011.00687.x

Korobilis, D (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18 (1). pp. 148-150. DOI https://doi.org/10.1016/j.econlet.2012.10.003

Korobilis, D (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29 (1). pp. 43-59. DOI https://doi.org/10.1016/j.ijforecast.2012.05.006

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 (1). pp. 139-152. DOI https://doi.org/10.1016/j.intfin.2012.11.011

Shen, Zhe and Coakley, Jerry and Instefjord, Norvald (2013) Investor participation and underpricing in lottery-allocated Chinese IPOs. Pacific-Basin Finance Journal, 25 (C). pp. 294-314. DOI https://doi.org/10.1016/j.pacfin.2013.10.002

Snaith, S and Coakley, J and Kellard, NM (2013) Does the forward premium puzzle disappear over the horizon? Journal of Banking & Finance, 37 (9). pp. 3681-3693. DOI https://doi.org/10.1016/j.jbankfin.2013.06.001

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. pp. 91-102. DOI https://doi.org/10.1016/j.irfa.2012.08.007

ap Gwilym, Owain and Verousis, Thanos (2013) Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. Journal of Futures Markets, 33 (1). pp. 55-76. DOI https://doi.org/10.1002/fut.21547

Book Section

Verousis, Thanos (2013) Bid-ask Spreads, Commissions, and Other Costs. In: Market Microstructure in Emerging and Developed Markets. Wiley. Official URL: https://doi.org/10.1002/9781118681145.ch18

Verousis, Thanos and ap Gwilym, Owain (2013) Return reversals and the compass rose: insights from high frequency options data. In: Contemporary Issues in Financial Institutions and Markets (vol 1). Routledge. Official URL: https://www.routledge.com/product/isbn/97804156451...

Monograph

Sarkisyan, Anna and Casu, Barbara (2013) Retained Interests in Securitisations and Implications for Bank Solvency. Working Paper. European Central Bank Working Papers 1538.. (Unpublished)