Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2018

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Afonso, Antonio and Arghyrou, Michael and Gadea, María Dolore and Kontonikas, Alexandros (2018) “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. Journal of International Money and Finance, 86. pp. 1-30. DOI https://doi.org/10.1016/j.jimonfin.2018.04.005

Astill, S and Taylor, AMR (2018) Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. The Econometrics Journal, 21 (3). pp. 277-297. DOI https://doi.org/10.1111/ectj.12111

Astill, Sam and Harvey, David and Leybourne, Stephen and Sollis, Robert and Taylor, AM Robert (2018) Real-Time Monitoring for Explosive Financial Bubbles. Journal of Time Series Analysis, 39 (6). pp. 863-891. DOI https://doi.org/10.1111/jtsa.12409

Astill, Sam and Taylor, AM Robert (2018) Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

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Baltas, Nicholas and Tsionas, Efthymios and Baltas, Konstantinos (2018) Foreign direct investment in OECD countries: a special focus in the case of Greece. Applied Economics, Publis (50). pp. 5579-5591. DOI https://doi.org/10.1080/00036846.2018.1488054

Banti, Chiara and Kellard, Neil and Manac, Radu-Dragomir (2018) Credit Default Swap Spreads: Funding Liquidity Matters! Working Paper. Essex Finance Centre Working Papers, Colchester.

Bermpei, Theodora and Kalyvas, Antonios and Nguyen, Thanh Cong (2018) Does institutional quality condition the effect of bank regulations and supervision on bank stability? Evidence from emerging and developing economies. International Review of Financial Analysis, 59 (C). pp. 255-275. DOI https://doi.org/10.1016/j.irfa.2018.06.002

Bermpei, Theodora and Kalyvas, Antonios Nikolaos (2018) Does tax enforcement matter for the cost of bank loans? Evidence from the United States. Working Paper. Essex Finance Centre Working Papers, Colchester.

Bernales, Alejandro and Cañón, Carlos and Verousis, Thanos (2018) Bid–ask spread and liquidity searching behaviour of informed investors in option markets. Finance Research Letters, 25. pp. 96-102. DOI https://doi.org/10.1016/j.frl.2017.10.025

Bouslah, Kais and Liñares-Zegarra, José and M'Zali, Bouchra and Scholtens, Bert (2018) CEO risk-taking incentives and socially irresponsible activities. British Accounting Review, 50 (1). pp. 76-92. DOI https://doi.org/10.1016/j.bar.2017.05.004

Byrne, Joseph P and Korobilis, Dimitris and Ribeiro, Pinho J (2018) On the sources of uncertainty in exchange rate predictability. International Economic Review, 59 (1). pp. 329-357. DOI https://doi.org/10.1111/iere.12271

C

Cai, Biqing and Cheng, Tingting and Yan, Cheng (2018) Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. Journal of Empirical Finance, 49. pp. 81-106. DOI https://doi.org/10.1016/j.jempfin.2018.09.001

Cavaliere, Giuseppe and De Angelis, Luca and Rahbek, Anders and Taylor, AM Robert (2018) Determining the cointegration rank in heteroskedastic VAR models of unknown order. Econometric Theory, 34 (02). pp. 349-382. DOI https://doi.org/10.1017/S0266466616000335

Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2018) Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory, 34 (02). pp. 302-348. DOI https://doi.org/10.1017/S0266466616000037

Chambers, Marcus J and Taylor, AM Robert (2018) Time-Varying Parameters in Continuous and Discrete Time. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Chen, K and Vitiello, L and Hyde, S and Poon, S (2018) The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance, 86. pp. 171-188. DOI https://doi.org/10.1016/j.jimonfin.2018.04.008

Chen, Louisa and Verousis, Thanos (2018) A contingent claims approach to the determinants of the stock-bond return relationship. International Journal of Banking, Accounting and Finance, 9 (1). p. 1. DOI https://doi.org/10.1504/IJBAAF.2018.089425

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del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2018) Semi-parametric seasonal unit root tests. Econometric Theory, 34 (02). pp. 447-476. DOI https://doi.org/10.1017/S0266466617000135

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Fiordelisi, Franco and Galloppo, Giuseppe (2018) Stock market reaction to policy interventions. The European Journal of Finance, 24 (18). pp. 1817-1834. DOI https://doi.org/10.1080/1351847x.2018.1450278

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Georgiev, I and Harvey, DI and Leybourne, SJ and Taylor, AM (2018) Testing for Parameter Instability in Predictive Regression Models. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Georgiev, I and Harvey, DI and Leybourne, SJ and Taylor, AMR (2018) A Bootstrap Stationarity Test for Predictive Regression Invalidity. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Georgiev, Iliyan and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2018) Testing for parameter instability in predictive regression models. Journal of Econometrics, 204 (1). pp. 101-118. DOI https://doi.org/10.1016/j.jeconom.2018.01.005

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Hallam, Mark and Olmo, Jose (2018) Statistical Tests of Distributional Scaling Properties for Financial Return Series. Quantitative Finance, 18 (7). pp. 1211-1232. DOI https://doi.org/10.1080/14697688.2017.1298832

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2018) Detecting Regimes of Predictability in the U.S. Equity Premium. Working Paper. Essex Finance Centre Working Papers, Colchester.

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Instefjord, N and Frantz, P (2018) Regulatory Competition and Rules/Principles Based Regulation. Journal of Business Finance and Accounting, 45 (7-8). pp. 818-838. DOI https://doi.org/10.1111/jbfa.12313

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Jitmaneeroj, Boonlert and Lamla, Michael J and Wood, Andrew (2018) The Implications of Central Bank Transparency for Uncertainty and Disagreement. Working Paper. Essex Finance Centre Working Papers, Colchester.

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Kapetanios, George and Millard, Stephen and Price, Simon and Petrova, Katerina (2018) Time varying cointegration and the UK Great Ratios. Working Paper. Essex Finance Centre Working Papers, Colchester.

Kapetanios, George and Price, Simon and Young, Garry (2018) A UK financial conditions index using targeted data reduction: forecasting and structural identification. Econometrics and Statistics, 7. pp. 1-17. DOI https://doi.org/10.1016/j.ecosta.2017.12.002

Kapetanios, George and Tasiou, Menelaos and Price, Simon and Ventouri, Alexia (2018) State-level wage Phillips curves. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Kellard, Neil M and Kontonikas, Alexandros and Lamla, Michael J and Maiani, Stefano and Wood, Geoffrey (2018) Risk, Financial Stability and FDI. Working Paper. Essex Finance Centre Working Papers, Colchester.

Kellard, Neil M and Snaith, Stuart and Ahmad, Norzalina (2018) Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Journal of Futures Markets, 38 (6). pp. 673-695. DOI https://doi.org/10.1002/fut.21899

Kontonikas, A and Zekaite, Z (2018) Monetary policy and stock valuation: Structural VAR identification and size effects. Quantitative Finance, 18 (5). pp. 837-848. DOI https://doi.org/10.1080/14697688.2017.1414516

Koop, G and Korobilis, D (2018) Forecasting with High-Dimensional Panel VARs. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Korobilis, D and Yilmaz, K (2018) Measuring Dynamic Connectedness with Large Bayesian VAR Models. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Korobilis, Dimitris (2018) Machine Learning Macroeconometrics A Primer. Working Paper. Essex Finance Centre Working Papers, Colchester.

Korobilis, Dimitris and Koop, Gary (2018) Variational Bayes inference in high-dimensional time-varying parameter models. Working Paper. Essex Finance Centre Working Papers, Colchester.

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Li, Yiwei and Gong, Mengfeng and Zhang, Xiu-Ye and Koh, Lenny (2018) The impact of environmental, social, and governance disclosure on firm value: The role of CEO power. The British Accounting Review, 50 (1). pp. 60-75. DOI https://doi.org/10.1016/j.bar.2017.09.007

Liñares-Zegarra, José and Wilson, John OS (2018) The Size and Growth of Microfinance Institutions. The British Accounting Review, 50 (2). pp. 199-213. DOI https://doi.org/10.1016/j.bar.2017.11.006

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Malikov, K and Manson, S and Coakley, J (2018) Earnings management using classification shifting of revenues. The British Accounting Review, 50 (3). pp. 291-305. DOI https://doi.org/10.1016/j.bar.2017.10.004

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Symitsi, Efthymia and Symeonidis, Lazaros and Kourtis, Apostolos and Markellos, Raphael (2018) Covariance forecasting in equity markets. Journal of Banking & Finance, 96 (C). pp. 153-168. DOI https://doi.org/10.1016/j.jbankfin.2018.08.013

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Verousis, Thanos and Perotti, Pietro and Sermpinis, Georgios (2018) One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. Review of Quantitative Finance and Accounting, 50 (2). pp. 353-392. DOI https://doi.org/10.1007/s11156-017-0632-2

Verousis, Thanos and Voukelatos, Nikolaos (2018) Cross-sectional dispersion and expected returns. Quantitative Finance, 18 (5). pp. 813-826. DOI https://doi.org/10.1080/14697688.2017.1414515

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Wang, Z and Su, B and Coakley, JM and Shen, Z (2018) Prospect theory and IPO returns in China. Journal of Corporate Finance, 48. pp. 726-751. DOI https://doi.org/10.1016/j.jcorpfin.2017.12.027

Z

Zhang, Huazhu and Yan, Cheng (2018) A skeptical appraisal of the bootstrap approach in fund performance evaluation. Financial Markets, Institutions and Instruments, 27 (2). pp. 49-86. DOI https://doi.org/10.1111/fmii.12093