Browse by Journal

Sampid, Marius and Hasim, Haslifah (2021) Forecasting robust value-at-risk estimates: Evidence from UK banks. Quantitative Finance, 21 (11). pp. 1955-1975. DOI https://doi.org/10.1080/14697688.2019.1579923

Vrontos, Spyridon and Galakis, John and Vrontos, Ioannis (2021) Implied Volatility Directional Forecasting: A Machine Learning Approach. Quantitative Finance, 2021 (10). pp. 1687-1706. DOI https://doi.org/10.1080/14697688.2021.1905869

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

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

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

Sergueiva, Antoaneta and Chinthalapati, VL Raju and Verousis, Thanos and Chen, Louisa (2017) Multichannel contagion and systemic stabilisation strategies in interconnected financial markets. Quantitative Finance, 17 (12). pp. 1885-1904. DOI https://doi.org/10.1080/14697688.2017.1357973

Tsang, Edward PK and Tao, Ran and Serguieva, Antoaneta and Ma, Shuai (2017) Profiling high-frequency equity price movements in directional changes. Quantitative Finance, 17 (2). pp. 217-225. DOI https://doi.org/10.1080/14697688.2016.1164887

Tsvetanov, Daniel and Coakley, Jerry and Kellard, Neil (2016) Is news related to GDP growth a risk factor for commodity futures returns? Quantitative Finance, 16 (12). pp. 1887-1899. DOI https://doi.org/10.1080/14697688.2016.1211797

Stasinakis, Charalampos and Sermpinis, Georgios and Psaradellis, Ioannis and Verousis, Thanos (2016) Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. Quantitative Finance, 16 (12). pp. 1901-1915. DOI https://doi.org/10.1080/14697688.2016.1211800

MASRY, S and DUPUIS, A and OLSEN, RB and TSANG, E (2013) Time zone normalization of FX seasonality. Quantitative Finance, 13 (7). pp. 1115-1123. DOI https://doi.org/10.1080/14697688.2013.773458

Tsang, Edward and Olsen, Richard and Masry, Shaimaa (2013) A formalization of double auction market dynamics. Quantitative Finance, 13 (7). pp. 981-988. DOI https://doi.org/10.1080/14697688.2013.774459

Velasco–Fuentes, Rafael and Ng, Wing Lon (2011) Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets. Quantitative Finance, 11 (6). pp. 863-881. DOI https://doi.org/10.1080/14697680903555314