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Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2016

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Number of items: 40.

Akpak Aygul, Melek (2016) An examination of commodity derivative markets: efficiency, volatility and diversification benefits. PhD thesis, University of Essex.

Andreeva, Galina and Calabrese, Raffaella and Osmetti, Silvia Angela (2016) A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models. European Journal of Operational Research, 249 (2). pp. 506-516. DOI https://doi.org/10.1016/j.ejor.2015.07.062

Banti, Chiara (2016) Illiquidity in the stock and foreign exchange markets: an investigation of their cross-market dynamics. Journal of Financial Research, 39 (4). pp. 411-436. DOI https://doi.org/10.1111/jfir.12113

Boswijk, H Peter and Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2016) Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192 (1). pp. 64-85. DOI https://doi.org/10.1016/j.jeconom.2015.07.005

Boswijk, P and Francq, C and Hallin, M and Taylor, AMR (2016) Editorial - Special issue on time series econometrics. Computational Statistics & Data Analysis, 100. pp. 631-632.

Byrne, J and Korobilis, D and Ribeiro, PJ (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62. pp. 1-24. DOI https://doi.org/10.1016/j.jimonfin.2015.12.001

Byrne, JP and Cao, S and Korobilis, D (2016) Decomposing Global Yield Curve Co-Movement. Working Paper. Essex Finance Centre Working Papers, Colchester.

Byrne, JP and Cao, S and Korobilis, D (2016) Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. Working Paper. Essex Finance Centre Working Papers.

Calabrese, Raffaella and Marra, Giampiero and Angela Osmetti, Silvia (2016) Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model. Journal of the Operational Research Society, 67 (4). pp. 604-615. DOI https://doi.org/10.1057/jors.2015.64

Cavaliere, G and De Angelis, L and Rahbek, A and Taylor, AMR (2016) Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. UNSPECIFIED. Essex Finance Centre Working Papers.

Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2016) Sieve-based inference for infinite-variance linear processes. Annals of Statistics, 44 (4). pp. 1467-1494. DOI https://doi.org/10.1214/15-AOS1419

Chen, XiaoHua and Solomon, Edna and Verousis, Thanos (2016) Asymmetric Post-Announcement Drift to Good and Bad News: Evidence from Voluntary Trading Disclosures in the Chinese Stock Market. International Journal of the Economics of Business, 23 (2). pp. 183-198. DOI https://doi.org/10.1080/13571516.2015.1048974

Coakley, J and Kellard, NM and Wang, J (2016) Commodity futures returns: more memory than you might think! The European Journal of Finance, 22 (14). pp. 1457-1483. DOI https://doi.org/10.1080/1351847x.2015.1025989

Coakley, J and Marzano, M and Nankervis, JC (2016) How profitable are FX technical trading rules? International Review of Financial Analysis, 45. pp. 273-282. DOI https://doi.org/10.1016/j.irfa.2016.03.010

Delis, Manthos and Kokas, Sotirios and Ongena, Steven (2016) Foreign Ownership and Market Power in Banking: Evidence from a World Sample. Journal of Money, Credit and Banking, 48 (2-3). pp. 449-483. DOI https://doi.org/10.1111/jmcb.12306

Delis, Manthos D and Iosifidi, Maria and Kokas, Sotirios and Ongena, Steven and Xefteris, Dimitrios (2016) "What's the Use of Having a Reputation If You Can't Ruin It Every Now and Then?" Regulatory Enforcement Actions on Banks and the Structure of Loan Syndicates. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Harris, D and Leybourne, SJ and Taylor, AMR (2016) Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point. Working Paper. Essex Finance Centre Working Papers.

Harris, D and Leybourne, SJ and Taylor, AMR (2016) Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Journal of Econometrics, 192 (2). pp. 451-467. DOI https://doi.org/10.1016/j.jeconom.2016.02.010

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance, 38 (Pt.B). pp. 548-574. DOI https://doi.org/10.1016/j.jempfin.2015.09.002

Instefjord, Norvald and Nawosah, Vivekanand and Yang, Pei (2016) A contingent claims analysis of optimal investment subsidy. Journal of Economic Dynamics and Control, 73 (C). pp. 354-372. DOI https://doi.org/10.1016/j.jedc.2016.10.004

Kahn, Charles M and Liñares-Zegarra, José (2016) Identity Theft and Consumer Payment Choice: Does Security Really Matter? Journal of Financial Services Research, 50 (1). pp. 121-159. DOI https://doi.org/10.1007/s10693-015-0218-x

Kellard, NM and Sliwa, M (2016) Business and Management impact assessment in REF2014: Analysis and reflection. British Journal of Management, 27 (4). pp. 693-711. DOI https://doi.org/10.1111/1467-8551.12186

Koop, G and Korobilis, D (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81. pp. 115-131. DOI https://doi.org/10.1016/j.euroecorev.2015.09.006

Korobilis, D (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101 (C). pp. 110-120. DOI https://doi.org/10.1016/j.csda.2016.02.011

Korobilis, D and Pettenuzzo, D (2016) Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. Working Paper. Essex Finance Centre Working Papers, Colchester.

Kourtis, Apostolos and Markellos, Raphael N and Symeonidis, Lazaros (2016) An International Comparison of Implied, Realized, and GARCH Volatility Forecasts. Journal of Futures Markets, 36 (12). pp. 1164-1193. DOI https://doi.org/10.1002/fut.21792

Luan, Xinyang (2016) Essays on International Stock and Bond Returns. PhD thesis, University of Essex.

Mamatzakis, Emmanuel and Bermpei, Theodora (2016) What is the effect of unconventional monetary policy on bank performance? Journal of International Money and Finance, 67 (C). pp. 239-263. DOI https://doi.org/10.1016/j.jimonfin.2016.05.005

Ozili, Peterson (2016) Paying Bank Risk Professionals to Lie About Bank Loan Loss Provisioning Process. The International Journal of Business and Management, 4 (11). pp. 58-63. (In Press)

Panopoulou, Ekaterini and Pantelidis, Theologos (2016) The Fisher effect in the presence of time-varying coefficients. Computational Statistics and Data Analysis, 100. pp. 495-511. DOI https://doi.org/10.1016/j.csda.2014.08.015

Petrovic, Nikola and Manson, Stuart and Coakley, Jerry (2016) Changes in Non-current Assets and in Property, Plant and Equipment and Future Stock Returns: The UK Evidence. Journal of Business Finance and Accounting, 43 (9-10). pp. 1142-1196. DOI https://doi.org/10.1111/jbfa.12203

Prokopczuk, Marcel and Symeonidis, Lazaros and Wese Simen, Chardin (2016) Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. Journal of Futures Markets, 36 (8). pp. 758-792. DOI https://doi.org/10.1002/fut.21759

Sermpinis, Georgios and Verousis, Thanos and Theofilatos, Konstantinos (2016) Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias. Journal of Forecasting, 35 (1). pp. 1-12. DOI https://doi.org/10.1002/for.2338

Stasinakis, Charalampos and Sermpinis, Georgios and Psaradellis, Ioannis and Verousis, Thanos (2016) Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. Quantitative Finance, 16 (12). pp. 1901-1915. DOI https://doi.org/10.1080/14697688.2016.1211800

Tsvetanov, D and Coakley, J and Kellard, N (2016) Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance, 38 (PB). pp. 516-533. DOI https://doi.org/10.1016/j.jempfin.2015.08.009

Tsvetanov, Daniel and Coakley, Jerry and Kellard, Neil (2016) Is news related to GDP growth a risk factor for commodity futures returns? Quantitative Finance, 16 (12). pp. 1887-1899. DOI https://doi.org/10.1080/14697688.2016.1211797

Verousis, Thanos and ap Gwilym, Owain and Chen, XiaoHua (2016) The intraday determination of liquidity in the NYSE LIFFE equity option markets. The European Journal of Finance, 22 (12). pp. 1164-1188. DOI https://doi.org/10.1080/1351847x.2015.1019642

Verousis, Thanos and ap Gwilym, Owain and Voukelatos, Nikolaos (2016) Commonality in equity options liquidity: evidence from European Markets. The European Journal of Finance, 22 (12). pp. 1204-1223. DOI https://doi.org/10.1080/1351847X.2016.1188836

Verousis, Thanos and ap Gwilym, Owain and Voukelatos, Nikolaos (2016) The Impact of a Premium-Based Tick Size on Equity Option Liquidity. Journal of Futures Markets, 36 (4). pp. 397-417. DOI https://doi.org/10.1002/fut.21734

del Barrio Castro, Tomás and Osborn, Denise R and Taylor, AM Robert (2016) The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests. Econometric Reviews, 35 (1). pp. 122-168. DOI https://doi.org/10.1080/07474938.2013.807710

This list was generated on Thu Mar 28 11:46:41 2024 GMT.