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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: 37.

Article

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

Banti, C and Phylaktis, K (2015) 'FX market liquidity, funding constraints and capital flows.' Journal of International Money and Finance, 56. 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). 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. 65 - 88. ISSN 1042-4431

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

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 Nielsen, MØ and Taylor, AMR (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). 557 - 579. ISSN 0304-4076

Cavaliere, G and Phillips, PCB and Smeekes, S and Taylor, AMR (2015) 'Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.' Econometric Reviews, 34 (4). 512 - 536. ISSN 0747-4938

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

Chronopoulos, DK and Girardone, C and Nankervis, JC (2015) 'Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach.' Journal of Time Series Analysis, 36 (5). 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). 111 - 128. ISSN 1351-847X

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

Del Barrio Castro, T and Rodrigues, PMM and Taylor, AMR (2015) 'On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.' Oxford Bulletin of Economics and Statistics, 77 (4). 495 - 511. ISSN 0305-9049

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

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

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

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

Kellard, N and Osborn, D and Coakley, J (2015) 'Introduction to the JTSA John Nankervis Memorial Issue.' Journal of Time Series Analysis, 36 (5). 601 - 602. ISSN 0143-9782

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

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). 93 - 110. ISSN 1351-847X

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

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

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

Monograph

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

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.

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

Georgiev, I and Harvey, DI and Leybourne, SJ and Taylor, AMR (2015) A Bootstrap Stationarity Test for Predictive Regression Invalidity. UNSPECIFIED. Essex Finance Centre Working Papers.

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.

Book

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

Thesis

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

This list was generated on Fri Dec 15 20:42:22 2017 GMT.