Research Repository

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: 45.

A

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. ISSN 0377-2217

B

Banti, Chiara (2016) 'Illiquidity in the stock and foreign exchange markets: an investigation of their cross-market dynamics.' Journal of Financial Research, 39 (4). 411 - 436. ISSN 0270-2592

Bernales, Alejandro and Verousis, Thanos and Voukelatos, Nikolaos (2016) 'Do investors follow the herd in option markets?' Journal of Banking and Finance. ISSN 0378-4266

Bose, U and MacDonald, R and Tsoukas, S (2016) 'Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies.' Journal of Corporate Finance. ISSN 0929-1199 (In Press)

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). 64 - 85. ISSN 0304-4076

Boswijk, P and Francq, C and Hallin, M and Taylor, AMR (2016) 'Editorial - Special issue on time series econometrics.' Computational Statistics & Data Analysis, 100. 631 - 632. ISSN 0167-9473

Byrne, J and Korobilis, D and Ribeiro, PJ (2016) 'Exchange rate predictability in a changing world.' Journal of International Money and Finance, 62. 1 - 24. ISSN 0261-5606

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.

C

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. ISSN 0160-5682

Casu, B and Ferrari, A and Girardone, C and Wilson, JOS (2016) 'Integration, productivity and technological spillovers: Evidence for eurozone banking industries.' European Journal of Operational Research, 255 (3). 971 - 983. ISSN 0377-2217

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). 1467 - 1494. ISSN 0090-5364

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). 183 - 198. ISSN 1357-1516

Coakley, J and Kellard, N and Wang, J (2016) 'Commodity futures returns: more memory than you might think!<sup>†</sup>.' European Journal of Finance, 22 (14). 1457 - 1483. ISSN 1351-847X

Coakley, J and Marzano, M and Nankervis, JC (2016) 'How profitable are FX technical trading rules?' International Review of Financial Analysis, 45. 273 - 282. ISSN 1057-5219

D

Davies, RB and Lamla, MJ and Schiffbauer, M (2016) Learning or Leaning: Persistent and Transitory Spillovers from FDI. Working Paper. Essex Finance Centre Working Papers.

Dong, Y and Girardone, C and Kuo, J (2016) Governance, efficiency and risk taking in Chinese banking. UNSPECIFIED. Essex Finance Centre Working Papers.

Dotsis, G and Vlastakis, N (2016) 'Corridor Volatility Risk and Expected Returns.' Journal of Futures Markets, 36 (5). 488 - 505. ISSN 0270-7314

Dräger, Lena and Lamla, Michael J and Pfajfar, Damjan (2016) 'Are survey expectations theory-consistent? The role of central bank communication and news.' European Economic Review, 85. 84 - 111. ISSN 0014-2921

del Barrio Castro, T and Osborn, DR and Taylor, AMR (2016) 'The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests.' Econometric Reviews, 35 (1). 122 - 168. ISSN 0747-4938

G

Girardone, C and Hamill, PA and Wilson, JOS (2016) Contemporary issues in financial institutions and markets. UNSPECIFIED. ISBN 9781138809932

H

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). 451 - 467. ISSN 0304-4076

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). 548 - 574. ISSN 0927-5398

Hvozdyk, L and Rustanov, S (2016) 'The effect of financial transaction tax on market liquidity and volatility: An Italian perspective.' International Review of Financial Analysis, 45. 62 - 78. ISSN 1057-5219

I

Instefjord, Norvald and Nawosah, Vivekanand and Yang, Pei (2016) 'A contingent claims analysis of optimal investment subsidy.' Journal of Economic Dynamics and Control, 73. 354 - 372. ISSN 0165-1889

K

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). 121 - 159. ISSN 0920-8550

Kellard, NM and Sliwa, M (2016) 'Business and Management impact assessment in REF2014: Analysis and reflection.' British Journal of Management, 27 (4). 693 - 711. ISSN 1045-3172

Koop, G and Korobilis, D (2016) 'Model uncertainty in Panel Vector Autoregressive models.' European Economic Review, 81. 115 - 131. ISSN 0014-2921

Korobilis, D (2016) 'Prior selection for panel vector autoregressions.' Computational Statistics and Data Analysis, 101. 110 - 120. ISSN 0167-9473

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

L

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

M

Mamatzakis, Emmanuel and Bermpei, Theodora (2016) 'What is the effect of unconventional monetary policy on bank performance?' Journal of International Money and Finance, 67. 239 - 263. ISSN 0261-5606

O

Ozili, Peterson (2016) 'Bank Profitability and Capital Regulation: Evidence from Listed and non-Listed Banks in Africa.' Journal of African Business, 18. ISSN 1522-8916

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. ISSN 2321 8916 (In Press)

P

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). 1142 - 1196. ISSN 0306-686X

S

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). 1 - 12. ISSN 0277-6693

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). 1901 - 1915. ISSN 1469-7688

T

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 (Part B). 516 - 533. ISSN 0927-5398

Tsvetanov, D and Coakley, J and Kellard, N (2016) 'Is news related to GDP growth a risk factor for commodity futures returns?' Quantitative Finance, 16 (12). 1887 - 1899. ISSN 1469-7688

V

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). 1164 - 1188. ISSN 1351-847X

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). 1204 - 1223. ISSN 1351-847X

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). 397 - 417. ISSN 0270-7314

This list was generated on Fri Apr 19 00:51:03 2019 BST.