Browse by Journal

Chan, Ka Kei and Kolokolova, Olga and Lin, Ming-Tsung and Poon, Ser-Huang (2023) Price Convergence between Credit Default Swap and Put Option: New Evidence. Journal of Empirical Finance, 72. pp. 188-213. DOI https://doi.org/10.1016/j.jempfin.2023.03.008

Astill, Sam and Taylor, AM Robert and Kellard, Neil and Korkos, Ioannis (2023) Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance, 70. pp. 342-366. DOI https://doi.org/10.1016/j.jempfin.2022.12.008

Wang, William Senyu (2022) Does subsidiary bank failure affect parents’ capital decisions? Evidence from US bank holding companies. Journal of Empirical Finance, 69. pp. 208-223. DOI https://doi.org/10.1016/j.jempfin.2022.10.002

Calice, Giovanni and Lin, Ming-Tsung (2021) Exploring risk premium factors for country equity returns. Journal of Empirical Finance, 63. pp. 294-322. DOI https://doi.org/10.1016/j.jempfin.2021.07.003

Cheng, Tingting and Yan, Cheng and Yan, Yayi (2021) Improved inference for fund alphas using high-dimensional cross-sectional tests. Journal of Empirical Finance, 61. pp. 57-81. DOI https://doi.org/10.1016/j.jempfin.2020.12.002

Panopoulou, Ekaterini and Souropanis, Ioannis (2019) The role of technical indicators in exchange rate forecasting. Journal of Empirical Finance, 53. pp. 197-221. DOI https://doi.org/10.1016/j.jempfin.2019.07.004

Yan, Cheng and Cheng, Tingting (2019) In search of the optimal number of fund subgroups. Journal of Empirical Finance, 50. pp. 78-92. DOI https://doi.org/10.1016/j.jempfin.2018.12.002

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

Byrne, JP and Cao, S and Korobilis, D (2017) Forecasting the term structure of government bond yields in unstable environments. Journal of Empirical Finance, 44 (C). pp. 209-225. DOI https://doi.org/10.1016/j.jempfin.2017.09.004

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 (PB). pp. 516-533. DOI https://doi.org/10.1016/j.jempfin.2015.08.009

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). pp. 548-574. DOI https://doi.org/10.1016/j.jempfin.2015.09.002

Thornton, MA and Chambers, MJ (2016) The exact discretisation of CARMA models with applications in finance. Journal of Empirical Finance, 38. pp. 739-761. DOI https://doi.org/10.1016/j.jempfin.2016.03.006

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 (C). pp. 168-185. DOI https://doi.org/10.1016/j.jempfin.2014.02.004

Kellard, Neil M and Nankervis, John C and Papadimitriou, Fotios I (2010) Predicting the equity premium with dividend ratios: Reconciling the evidence. Journal of Empirical Finance, 17 (4). pp. 539-551. DOI https://doi.org/10.1016/j.jempfin.2010.04.002

Della Corte, P and Sarno, L and Valente, G (2010) A century of equity premium predictability and the consumption?wealth ratio: An international perspective. Journal of Empirical Finance, 17 (3). pp. 313-331. DOI https://doi.org/10.1016/j.jempfin.2009.10.003

Santos Silva, JMC and Murteira, JMR (2009) Estimation of default probabilities using incomplete contracts data. Journal of Empirical Finance, 16 (3). pp. 457-465. DOI https://doi.org/10.1016/j.jempfin.2008.11.003

Meligkotsidou, Loukia and Vrontos, Ioannis D and Vrontos, Spyridon D (2009) Quantile regression analysis of hedge fund strategies. Journal of Empirical Finance, 16 (2). pp. 264-279. DOI https://doi.org/10.1016/j.jempfin.2008.10.002

Kellard, NM and Sarantis, N (2008) Can exchange rate volatility explain persistence in the forward premium? Journal of Empirical Finance, 15 (4). pp. 714-728. DOI https://doi.org/10.1016/j.jempfin.2007.10.002