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Items where Division is "Faculty of Social Sciences > Essex Business School > Essex Finance Centre" and Year is 2015

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Number of items: 32.


Afonso, A and Arghyrou, MG and Bagdatoglou, G and Kontonikas, A (2015) On the time-varying relationship between EMU sovereign spreads and their determinants. Economic Modelling, 44 (C). pp. 363-371. DOI https://doi.org/10.1016/j.econmod.2014.07.025

Astill, S and Harvey, DI and Leybourne, SJ and Taylor, AMR (2015) Robust and Powerful Tests for Nonlinear Deterministic Components. Oxford Bulletin of Economics and Statistics, 77 (6). pp. 780-799. DOI https://doi.org/10.1111/obes.12079


Banti, C (2015) Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics. Working Paper. Essex Finance Centre Working Papers.

Banti, Chiara and Phylaktis, Kate (2015) FX market liquidity, funding constraints and capital flows. Journal of International Money and Finance, 56 (C). pp. 114-134. DOI https://doi.org/10.1016/j.jimonfin.2014.11.002

Bauwens, L and Koop, G and Korobilis, D and Rombouts, JVK (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30 (4). pp. 596-620. DOI https://doi.org/10.1002/jae.2387

Bose, Udichibarna and MacDonald, Ronald and Tsoukas, Serafeim (2015) Education and the local equity bias around the world. Journal of International Financial Markets, Institutions and Money, 39. pp. 65-88. DOI https://doi.org/10.1016/j.intfin.2015.06.002

Bose, Udichibarna and MacDonald, Ronald and Tsoukas, Serafeim (2015) Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies. Working Paper. Essex Finance Centre Working Papers.

Bulkley, George and Harris, Richard DF and Nawosah, Vivekanand (2015) Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates? Journal of Banking & Finance, 58 (C). pp. 179-193. DOI https://doi.org/10.1016/j.jbankfin.2015.03.018


Calabrese, Raffaella and Giudici, Paolo (2015) Estimating bank default with generalised extreme value regression models. Journal of the Operational Research Society, 66 (11). pp. 1783-1792. DOI https://doi.org/10.1057/jors.2014.106

Calabrese, Raffaella and Osmetti, Silvia Angela (2015) Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach. Journal of Forecasting, 34 (3). pp. 230-239. DOI https://doi.org/10.1002/for.2335

Cavaliere, Giuseppe and Nielsen, Morten Ørregaard and Taylor, AM Robert (2015) Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics, 187 (2). pp. 557-579. DOI https://doi.org/10.1016/j.jeconom.2015.02.039

Cavaliere, Giuseppe and Phillips, Peter CB and Smeekes, Stephan and Taylor, AM Robert (2015) Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, 34 (4). pp. 512-536. DOI https://doi.org/10.1080/07474938.2013.808065

Chen, Jian and Shen, Liya and Wang, Xiaoke and Zuo, Haomiao (2015) The role of variance risk premium in predicting excess stock market return: out-of-sample evidences. Applied Economics Letters, 22 (17). pp. 1-7. DOI https://doi.org/10.1080/13504851.2015.1034831

Cipollini, A and Coakley, J and Lee, H (2015) The European sovereign debt market: from integration to segmentation. The European Journal of Finance, 21 (2). pp. 111-128. DOI https://doi.org/10.1080/1351847x.2013.788535

Clayton, Maya and Liñares-Zegarra, José and Wilson, John OS (2015) Does debt affect health? Cross country evidence on the debt-health nexus. Social Science and Medicine, 130 (C). pp. 51-58. DOI https://doi.org/10.1016/j.socscimed.2015.02.002

Clerides, Sofronis and Delis, Manthos D and Kokas, Sotirios (2015) A New Data Set On Competition In National Banking Markets. Financial Markets, Institutions & Instruments, 24 (2-3). pp. 267-311. DOI https://doi.org/10.1111/fmii.12030


Daskalakis, George and Symeonidis, Lazaros and Markellos, Raphael N (2015) Electricity futures prices in an emissions constrained economy: Evidence from European power markets. The Energy Journal, 36 (3). pp. 1-33. DOI https://doi.org/10.5547/01956574.36.3.1

Del Barrio Castro, T and Rodrigues, PMM and Taylor, AMR (2015) Semi-Parametric Seasonal Unit Root Tests. UNSPECIFIED. Essex Finance Centre Working Papers.


Hadla, Masar (2015) Essays in international finance. PhD thesis, University of Essex.


Iosifidi, Maria and Kokas, Sotirios (2015) Who lends to riskier and lower-profitability firms? Evidence from the syndicated loan market. Journal of Banking & Finance, 61 (S1). S14-S21. DOI https://doi.org/10.1016/j.jbankfin.2015.02.008


Kapetanios, G and Mitchell, J and Price, S and Fawcett, N (2015) Generalised density forecast combinations. Journal of Econometrics, 188 (1). pp. 150-165. DOI https://doi.org/10.1016/j.jeconom.2015.02.047

Kapetanios, G and Price, S and Theodoridis, K (2015) A new approach to multi-step forecasting using dynamic stochastic general equilibrium models. Economics Letters, 136 (C). pp. 237-242. DOI https://doi.org/10.1016/j.econlet.2015.09.034

Kellard, NM and Osborn, D and Coakley, J (2015) Introduction to the JTSA John Nankervis Memorial Issue. Journal of Time Series Analysis, 36 (5). pp. 601-602. DOI https://doi.org/10.1111/jtsa.12127

Kellard, Neil M and Jiang, Ying and Wohar, Mark (2015) Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. Journal of International Money and Finance, 56 (C). pp. 36-54. DOI https://doi.org/10.1016/j.jimonfin.2015.04.003


Liu, X and Kuo, J and Coakley, J (2015) A pricing kernel approach to valuing options on interest rate futures. The European Journal of Finance, 21 (2). pp. 93-110. DOI https://doi.org/10.1080/1351847X.2013.779289


Makhlouf, Yousef and Kellard, Neil M and Vinogradov, Dmitri (2015) Trade openness, export diversification, and political regimes. Economics Letters, 136 (C). pp. 25-27. DOI https://doi.org/10.1016/j.econlet.2015.08.031

Mamatzakis, Emmanuel and Bermpei, Theodora (2015) The Effect of Corporate Governance on the Performance of US Investment Banks. Financial Markets, Institutions and Instruments, 24 (2-3). pp. 191-239. DOI https://doi.org/10.1111/fmii.12028


Nankervis, JC and Kougoulis, P and Coakley, J (2015) Generalized Variance-Ratio Tests in the Presence of Statistical Dependence. Journal of Time Series Analysis, 36 (5). pp. 687-705. DOI https://doi.org/10.1111/jtsa.12124


Panopoulou, Ekaterini and Vrontos, Spyridon (2015) Hedge fund return predictability; To combine forecasts or combine information? Journal of Banking & Finance, 56. pp. 103-122. DOI https://doi.org/10.1016/j.jbankfin.2015.03.004


Snaith, S and Kellard, NM and Ahmad, N (2015) Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Working Paper. Essex Finance Centre Working Papers, Colchester.


Verousis, Thanos (2015) Financial Risk Aversion and Mental Health Disorders: engaging those with ADHD. Project Report. University of Bath. (Unpublished)

Vitiello, L and Rebelo, I (2015) A note on the pricing of multivariate contingent claims under a transformed-gamma distribution. Review of Derivatives Research, 18 (3). pp. 291-300. DOI https://doi.org/10.1007/s11147-015-9112-9

This list was generated on Fri Dec 1 02:33:41 2023 GMT.