Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2013
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A
Astill, S and Harvey, DI and Taylor, AMR (2013) 'A bootstrap test for additive outliers in non-stationary time series.' Journal of Time Series Analysis, 34 (4). pp. 454-465. ISSN 0143-9782
ap Gwilym, Owain and Verousis, Thanos (2013) 'Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level.' Journal of Futures Markets, 33 (1). pp. 55-76. ISSN 0270-7314
C
Calabrese, Raffaella (2013) 'Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme.' Statistics & Probability Letters, 83 (1). pp. 272-277. ISSN 0167-7152
Calabrese, Raffaella (2013) 'A probabilistic scheme with uniform correlation structure.' Statistics in Transition, 14 (1). pp. 129-138. ISSN 1234-7655
Calabrese, Raffaella and Osmetti, Silvia Angela (2013) 'Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model.' Journal of Applied Statistics, 40 (6). pp. 1172-1188. ISSN 0266-4763
Castro, Tomás del Barrio and Rodrigues, Paulo MM and Taylor, AM Robert (2013) 'THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS.' Econometric Theory, 29 (6). pp. 1289-1313. ISSN 0266-4666
Casu, Barbara and Clare, Andrew and Sarkisyan, Anna and Thomas, Stephen (2013) 'Securitization and Bank Performance.' Journal of Money, Credit and Banking, 45 (8). pp. 1617-1658. ISSN 0022-2879
Cavaliere, Giuseppe and Georgiev, Iliyan and Robert Taylor, AM (2013) 'Wild Bootstrap of the Sample Mean in the Infinite Variance Case.' Econometric Reviews, 32 (2). pp. 204-219. ISSN 0747-4938
Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2013) 'Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.' Econometric Reviews, 32 (7). pp. 814-847. ISSN 0747-4938
Chortareas, Georgios E and Girardone, Claudia and Ventouri, Alexia (2013) 'Financial freedom and bank efficiency: Evidence from the European Union.' Journal of Banking & Finance, 37 (4). pp. 1223-1231. ISSN 0378-4266
Chronopoulos, Dimitris K and Girardone, Claudia and Nankervis, John C (2013) 'How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?' Journal of Financial Services Research, 43 (3). pp. 243-263. ISSN 0920-8550
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Frantz, Pascal and Instefjord, Norvald (2013) 'Corporate Governance and the Cost of Borrowing.' Journal of Business Finance & Accounting, 40 (7-8). pp. 918-948. ISSN 0306-686X
Frantz, Pascal and Instefjord, Norvald and Walker, Martin (2013) 'Executive Compensation: A Model of Disclosure Choice.' Journal of Business Finance & Accounting, 40 (9-10). pp. 1184-1220. ISSN 0306-686X
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Girardone, Claudia and Hamill, Philip A and Wilson, John (2013) 'Contemporary issues in financial markets and institutions.' The European Journal of Finance, 19 (9). pp. 811-814. ISSN 1351-847X
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Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2013) 'Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics.' Journal of Econometrics, 177 (2). pp. 265-284. ISSN 0304-4076
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Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) 'Testing for a break in trend when the order of integration is unknown.' Journal of Econometrics, 176 (1). pp. 30-45. ISSN 0304-4076
Iacone, Fabrizio and Leybourne, Stephen J and Taylor, AM Robert (2013) 'ON THE BEHAVIOR OF FIXED-<i>b</i> TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION.' Econometric Theory, 29 (2). pp. 393-418. ISSN 0266-4666
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Jitmaneeroj, B and Wood, A (2013) 'The expectations hypothesis: New hope or illusory support?' Journal of Banking & Finance, 37 (3). pp. 1084-1092. ISSN 0378-4266
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Koop, G and Korobilis, D (2013) 'Large Time-Varying Parameter VARs.' Journal of Econometrics, 177 (2). pp. 185-198. ISSN 0304-4076
Korobilis, D (2013) 'Assessing the transmission of monetary policy using time-varying parameter dynamic factor models.' Oxford Bulletin of Economics and Statistics, 75 (2). pp. 157-179. ISSN 0305-9049
Korobilis, D (2013) 'Bayesian forecasting with highly correlated predictors.' Economics Letters, 18 (1). pp. 148-150. ISSN 0165-1765
Korobilis, D (2013) 'Hierarchical shrinkage priors for dynamic regressions with many predictors.' International Journal of Forecasting, 29 (1). pp. 43-59. ISSN 0169-2070
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Meng, Lei and Verousis, Thanos and ap Gwilym, Owain (2013) 'A substitution effect between price clustering and size clustering in credit default swaps.' Journal of International Financial Markets, Institutions and Money, 24 (1). pp. 139-152. ISSN 1042-4431
S
Sarkisyan, Anna and Casu, Barbara (2013) Retained Interests in Securitisations and Implications for Bank Solvency. Working Paper. European Central Bank Working Papers 1538.. (Unpublished)
Shen, Zhe and Coakley, Jerry and Instefjord, Norvald (2013) 'Investor participation and underpricing in lottery-allocated Chinese IPOs.' Pacific-Basin Finance Journal, 25 (C). pp. 294-314. ISSN 0927-538X
Snaith, S and Coakley, J and Kellard, NM (2013) 'Does the forward premium puzzle disappear over the horizon?' Journal of Banking & Finance, 37 (9). pp. 3681-3693. ISSN 0378-4266
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Verousis, Thanos (2013) 'Bid-ask Spreads, Commissions, and Other Costs.' In: Baker, H Kent and Kiymaz, Halil, (eds.) Market Microstructure in Emerging and Developed Markets. Wiley. ISBN 9781118278444
Verousis, Thanos and ap Gwilym, Owain (2013) 'Return reversals and the compass rose: insights from high frequency options data.' In: Wilson, John OS and Casu, Barbara and McMillan, David, (eds.) Contemporary Issues in Financial Institutions and Markets (vol 1). Routledge. ISBN 9780415645133
Verousis, Thanos and ap Gwilym, Owain (2013) 'Trade size clustering and the cost of trading at the London Stock Exchange.' International Review of Financial Analysis, 27. pp. 91-102. ISSN 1057-5219