Research Repository

Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2014

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Number of items: 32.

Afonso, A and Arghyrou, MG and Kontonikas, A (2014) 'Pricing sovereign bond risk in the European Monetary Union area: An empirical investigation.' International Journal of Finance and Economics, 19 (1). 49 - 56. ISSN 1076-9307

Alexandrou, G and Gounopoulos, D and Thomas, HM (2014) 'Mergers and acquisitions in shipping.' Transportation Research Part E: Logistics and Transportation Review, 61. 212 - 234. ISSN 1366-5545

Alhalboni, Maryam (2014) Market Microstructure for a Portfolio of Dividend Paying Firms around Ex-Dividend Days. PhD thesis, University of Essex.

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2014) 'Robust tests for a linear trend with an application to equity indices.' Journal of Empirical Finance, 29. 168 - 185. ISSN 0927-5398

Belmonte, MAG and Koop, G and Korobilis, D (2014) 'Hierarchical shrinkage in time-varying parameter models.' Journal of Forecasting, 33 (1). 80 - 94. ISSN 0277-6693

Bermpei, T and Mamatzakis, E (2014) The impact of M&A advisory fees on the investment bank performance. Is there convergence during crisis? In: INFINITI 2014, University of Florence, ? - ?, Florence, Italy.

Calabrese, Raffaella (2014) 'Downturn Loss Given Default: Mixture distribution estimation.' European Journal of Operational Research, 237 (1). pp. 271-277. ISSN 03772217

Calabrese, Raffaella (2014) 'Optimal cut-off for rare events and unbalanced misclassification costs.' Journal of Applied Statistics, 41 (8). pp. 1678-1693. ISSN 0266-4763

Calabrese, Raffaella and Elkink, Johan A (2014) 'Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.' Journal of Regional Science, 54 (4). pp. 664-687. ISSN 0022-4146

Calabrese, Raffaella and Osmetti, Silvia Angela (2014) 'A Generalized Additive Model for Binary Rare Events Data: An Application to Credit Defaults.' In: Vicari, Donatella and Okada, Akinori and Ragozini, Giancarlo and Weihs, Claus, (eds.) Analysis and Modeling of Complex Data in Behavioral and Social Sciences. Studies in Classification, Data Analysis, and Knowledge Organization . Springer International Publishing, Switzerland, pp. 73-81. ISBN 978-3-319-06691-2

Cavaliere, G and Rahbek, A and Robert Taylor, AM (2014) 'Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.' Econometric Reviews, 33 (5-6). 606 - 650. ISSN 0747-4938

Chambers, MJ and Ercolani, JS and Taylor, AMR (2014) 'Testing for seasonal unit roots by frequency domain regression.' Journal of Econometrics, 178 (PART 2). 243 - 258. ISSN 0304-4076

Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) 'Testing for seasonal unit roots by frequency domain regression.' Journal of Econometrics, 178 (Pt 2). 243 - 258. ISSN 0304-4076

Coakley, J and Dotsis, G and Liu, X and Zhai, J (2014) 'Investor sentiment and value and growth stock index options.' European Journal of Finance, 20 (12). 1211 - 1229. ISSN 1351-847X

Degl'Innocenti, M and Girardone, C and Torluccio, G (2014) 'Diversification, multimarket contacts and profits in the leasing industry.' Journal of International Financial Markets, Institutions and Money, 31 (1). 231 - 252. ISSN 1042-4431

Elliott, G and Taylor, AMR (2014) Annals issue of journal of econometrics "recent advances in time series econometrics" guest editors' introduction. In: UNSPECIFIED, ? - ?.

Florackis, C and Kontonikas, A and Kostakis, A (2014) 'Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis.' Journal of International Money and Finance, 44. 97 - 117. ISSN 0261-5606

Gnabo, JY and Hvozdyk, L and Lahaye, J (2014) 'System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies.' Journal of International Money and Finance, 48. 147 - 174. ISSN 0261-5606

Gregoriou, A and Kontonikas, A and Montagnoli, A (2014) 'Aggregate and regional house price to earnings ratio dynamics in the UK.' Urban Studies, 51 (13). 2916 - 2927. ISSN 0042-0980

Hallam, M and Olmo, J (2014) 'Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data.' Journal of Financial Econometrics, 12 (2). 408 - 432. ISSN 1479-8409

Hallam, Mark and Olmo, Jose (2014) 'Forecasting daily return densities from intraday data: A multifractal approach.' International Journal of Forecasting, 30 (4). 863 - 881. ISSN 0169-2070

Harvey, DI and Leybourne, SJ and Taylor, AMR (2014) 'On infimum Dickey-Fuller unit root tests allowing for a trend break under the null.' Computational Statistics and Data Analysis, 78. 235 - 242. ISSN 0167-9473

Harvey, DI and Leybourne, SJ and Taylor, AMR (2014) 'Unit root testing under a local break in trend using partial information on the break date.' Oxford Bulletin of Economics and Statistics, 76 (1). 93 - 111. ISSN 0305-9049

Iacone, F and Leybourne, SJ and Robert Taylor, AM (2014) 'A fixed- b test for a break in level at an unknown time under fractional integration.' Journal of Time Series Analysis, 35 (1). 40 - 54. ISSN 0143-9782

Koop, G and Korobilis, D (2014) 'A new index of financial conditions.' European Economic Review, 71. 101 - 116. ISSN 0014-2921

Liñares-Zegarra, José and Wilson, John OS (2014) 'Credit card interest rates and risk: new evidence from US survey data.' The European Journal of Finance, 20 (10). 892 - 914. ISSN 1351-847X

Mamatzakis, Emmanuel and Bermpei, Theodora (2014) 'What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis.' International Review of Financial Analysis, 35. 102 - 117. ISSN 1057-5219

Meligkotsidou, L and Panopoulou, E and Vrontos, ID and Vrontos, SD (2014) 'A quantile regression approach to equity premium prediction.' Journal of Forecasting, 33 (7). 558 - 576. ISSN 0277-6693

Sarkisyan, Anna and Casu, Barbara (2014) 'Securitisation.' In: Berger, Allen N and Molyneux, Philip and Wilson, John OS, (eds.) Oxford Handbook of Banking (2nd edition). Oxford University Press. ISBN 9780199688500

Shen, Z and Coakley, J and Instefjord, N (2014) 'Earnings management and IPO anomalies in China.' Review of Quantitative Finance and Accounting, 42 (1). 69 - 93. ISSN 0924-865X

Verousis, Thanos and ap Gwilym, Owain (2014) 'The implications of a price anchoring effect at the upstairs market of the London Stock Exchange.' International Review of Financial Analysis, 32. 37 - 46. ISSN 1057-5219

Vitiello, L and Poon, S (2014) 'Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing.' Review of Derivatives Research, 17 (2). 241 - 259. ISSN 1380-6645

This list was generated on Tue May 18 08:27:49 2021 BST.