# Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2015

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**36**.

## A

Afonso, A and Arghyrou, MG and Bagdatoglou, G and Kontonikas, A (2015) 'On the time-varying relationship between EMU sovereign spreads and their determinants.' Economic Modelling, 44 (C). pp. 363-371. ISSN 0264-9993

Astill, S and Harvey, DI and Leybourne, SJ and Taylor, AMR (2015) 'Robust and Powerful Tests for Nonlinear Deterministic Components.' Oxford Bulletin of Economics and Statistics, 77 (6). pp. 780-799. ISSN 0305-9049

## B

Banti, C (2015) Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics. Working Paper. Essex Finance Centre Working Papers.

Banti, Chiara and Phylaktis, Kate (2015) 'FX market liquidity, funding constraints and capital flows.' Journal of International Money and Finance, 56 (C). pp. 114-134. ISSN 0261-5606

Bauwens, L and Koop, G and Korobilis, D and Rombouts, JVK (2015) 'The contribution of structural break models to forecasting macroeconomic series.' Journal of Applied Econometrics, 30 (4). pp. 596-620. ISSN 0883-7252

Bose, Udichibarna and MacDonald, Ronald and Tsoukas, Serafeim (2015) 'Education and the local equity bias around the world.' Journal of International Financial Markets, Institutions and Money, 39. pp. 65-88. ISSN 1042-4431

Bose, Udichibarna and MacDonald, Ronald and Tsoukas, Serafeim (2015) Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies. Working Paper. Essex Finance Centre Working Papers.

Bulkley, George and Harris, Richard DF and Nawosah, Vivekanand (2015) 'Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?' Journal of Banking & Finance, 58 (C). pp. 179-193. ISSN 0378-4266

## C

Calabrese, Raffaella and Giudici, Paolo (2015) 'Estimating bank default with generalised extreme value regression models.' Journal of the Operational Research Society, 66 (11). pp. 1783-1792. ISSN 0160-5682

Calabrese, Raffaella and Osmetti, Silvia Angela (2015) 'Improving Forecast of Binary Rare Events Data: A GAM-Based Approach.' Journal of Forecasting, 34 (3). pp. 230-239. ISSN 0277-6693

Casu, B and Girardone, C and Molyneux, P (2015) Introduction to Banking (Second edition). Pearson.

Cavaliere, Giuseppe and Angelis, Luca De and Rahbek, Anders and Robert Taylor, AM (2015) 'A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models.' Oxford Bulletin of Economics and Statistics, 77 (1). pp. 106-128. ISSN 0305-9049

Cavaliere, Giuseppe and Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2015) 'Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics.' Journal of Time Series Analysis, 36 (5). pp. 603-629. ISSN 0143-9782

Cavaliere, Giuseppe and Nielsen, Morten Ørregaard and Taylor, AM Robert (2015) 'Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.' Journal of Econometrics, 187 (2). pp. 557-579. ISSN 0304-4076

Cavaliere, Giuseppe and Phillips, Peter CB and Smeekes, Stephan and Taylor, AM Robert (2015) 'Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.' Econometric Reviews, 34 (4). pp. 512-536. ISSN 0747-4938

Cavaliere, Giuseppe and Rahbek, Anders and Robert Taylor, AM (2015) 'Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components.' Journal of Time Series Analysis, 36 (3). pp. 272-289. ISSN 0143-9782

Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2015) 'Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.' Oxford Bulletin of Economics and Statistics, 77 (5). pp. 740-759. ISSN 0305-9049

Chen, Jian and Shen, Liya and Wang, Xiaoke and Zuo, Haomiao (2015) 'The role of variance risk premium in predicting excess stock market return: out-of-sample evidences.' Applied Economics Letters, 22 (17). pp. 1-7. ISSN 1350-4851

Chronopoulos, Dimitris K and Girardone, Claudia and Nankervis, John C (2015) 'Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach.' Journal of Time Series Analysis, 36 (5). pp. 653-662. ISSN 0143-9782

Cipollini, A and Coakley, J and Lee, H (2015) 'The European sovereign debt market: from integration to segmentation.' The European Journal of Finance, 21 (2). pp. 111-128. ISSN 1351-847X

Clayton, Maya and Liñares-Zegarra, José and Wilson, John OS (2015) 'Does debt affect health? Cross country evidence on the debt-health nexus.' Social Science and Medicine, 130 (C). pp. 51-58. ISSN 0277-9536

Clerides, Sofronis and Delis, Manthos D and Kokas, Sotirios (2015) 'A New Data Set On Competition In National Banking Markets.' Financial Markets, Institutions & Instruments, 24 (2-3). pp. 267-311. ISSN 0963-8008

## D

Daskalakis, George and Symeonidis, Lazaros and Markellos, Raphael N (2015) 'Electricity futures prices in an emissions constrained economy: Evidence from European power markets.' The Energy Journal, 36 (3). pp. 1-33. ISSN 0195-6574

Del Barrio Castro, T and Rodrigues, PMM and Taylor, AMR (2015) Semi-Parametric Seasonal Unit Root Tests. UNSPECIFIED. Essex Finance Centre Working Papers.

Del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2015) 'On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.' Oxford Bulletin of Economics and Statistics, 77 (4). pp. 495-511. ISSN 0305-9049

## H

Hadla, Masar (2015) Essays in international finance. PhD thesis, University of Essex.

## I

Iosifidi, Maria and Kokas, Sotirios (2015) 'Who lends to riskier and lower-profitability firms? Evidence from the syndicated loan market.' Journal of Banking & Finance, 61 (S1). S14-S21. ISSN 0378-4266

## K

Kapetanios, G and Mitchell, J and Price, S and Fawcett, N (2015) 'Generalised density forecast combinations.' Journal of Econometrics, 188 (1). pp. 150-165. ISSN 0304-4076

Kapetanios, G and Price, S and Theodoridis, K (2015) 'A new approach to multi-step forecasting using dynamic stochastic general equilibrium models.' Economics Letters, 136 (C). pp. 237-242. ISSN 0165-1765

## L

Liu, X and Kuo, J and Coakley, J (2015) 'A pricing kernel approach to valuing options on interest rate futures.' The European Journal of Finance, 21 (2). pp. 93-110. ISSN 1351-847X

## M

Mamatzakis, Emmanuel and Bermpei, Theodora (2015) 'The Effect of Corporate Governance on the Performance of US Investment Banks.' Financial Markets, Institutions and Instruments, 24 (2-3). pp. 191-239. ISSN 0963-8008

## N

Nankervis, JC and Kougoulis, P and Coakley, J (2015) 'Generalized Variance-Ratio Tests in the Presence of Statistical Dependence.' Journal of Time Series Analysis, 36 (5). pp. 687-705. ISSN 0143-9782

## P

Panopoulou, Ekaterini and Vrontos, Spyridon (2015) 'Hedge fund return predictability; To combine forecasts or combine information?' Journal of Banking & Finance, 56. pp. 103-122. ISSN 0378-4266

## T

Triantafyllou, Athanasios and Dotsis, George and Sarris, Alexandros H (2015) 'Volatility Forecasting and Time-varying Variance Risk Premiums in Grains Commodity Markets.' Journal of Agricultural Economics, 66 (2). pp. 329-357. ISSN 0021-857X

## V

Verousis, Thanos (2015) Financial Risk Aversion and Mental Health Disorders: engaging those with ADHD. Project Report. University of Bath. (Unpublished)

Vitiello, L and Rebelo, I (2015) 'A note on the pricing of multivariate contingent claims under a transformed-gamma distribution.' Review of Derivatives Research, 18 (3). pp. 291-300. ISSN 1380-6645