Research Repository

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

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Number of items: 22.

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. 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). 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.

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). 596 - 620. ISSN 0883-7252

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, G and Harris, RDF and Nawosah, V (2015) 'Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?' Journal of Banking and Finance, 58. 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

Cavaliere, G and Angelis, LD and Rahbek, A 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). 106 - 128. ISSN 0305-9049

Cavaliere, G and Harvey, DI and Leybourne, SJ 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). 603 - 629. ISSN 0143-9782

Cavaliere, G and Rahbek, A 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). 272 - 289. ISSN 0143-9782

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

Chen, J and Shen, L and Wang, X and Zuo, H (2015) 'The role of variance risk premium in predicting excess stock market return: out-of-sample evidences.' Applied Economics Letters, 22 (17). 1382 - 1388. ISSN 1350-4851

Clayton, M and Liñares-Zegarra, J and Wilson, JOS (2015) 'Does debt affect health? Cross country evidence on the debt-health nexus.' Social Science and Medicine, 130. 51 - 58. ISSN 0277-9536

Clerides, S and Delis, MD and Kokas, S (2015) A new data set on competition in national banking markets. [UNSPECIFIED]

E

Eichberger, J and Vinogradov, D (2015) 'Lowest-Unmatched Price Auctions.' International Journal of Industrial Organization, 43. 1 - 17. ISSN 0167-7187

H

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

K

Kellard, NM and Jiang, Y and Wohar, M (2015) 'Spurious long memory, uncommon breaks and the implied-realized volatility puzzle.' Journal of International Money and Finance, 56. 36 - 54. ISSN 0261-5606

M

Makhlouf, Y and Kellard, NM and Vinogradov, D (2015) 'Trade openness, export diversification, and political regimes.' Economics Letters, 136. 25 - 27. ISSN 0165-1765

Mamatzakis, E and Bermpei, T (2015) 'The effect of corporate governance on the performance of US investment banks.' Financial Markets, Institutions and Instruments, 24 (2-3). 191 - 239. ISSN 0963-8008

S

Snaith, S and Kellard, NM and Ahmad, N (2015) Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Working Paper. Essex Finance Centre Working Papers, Colchester.

V

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

This list was generated on Tue Nov 21 17:35:27 2017 GMT.