Munich Personal RePEc Archive

Items where Subject is "C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics"

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Number of items at this level: 310.

A

Abarahan, Amnisuhailah Binti and Masih, Mansur (2016): Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique.

Abdi, Aisha Aden and Masih, Mansur (2017): Do macroeconomic variables affect stock–sukuk correlation in the regional markets? evidence from the GCC countries based on DOLS and FM-OLS.

Abdi, Zeinab and Masih, Mansur (2014): Which type of government revenue leads government expenditure?

Abdul Wahab, Hishamuddin and Rosly, Saiful Azhar and Masih, Abul Mansur M. (2014): Risk Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia using Dynamic OLS and Two-step Dynamic System GMM Estimators.

Abdullah, Ahmad Monir and Masih, Abul Mansur M. (2014): The Impact of Crude Oil Price on Macroeconomic Variables: New Evidence from Malaysia.

Abdullah, Ahmad Monir and Saiti, Buerhan and Masih, Abul Mansur M. (2014): Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia.

Abdullah, Ahmad Monir and Saiti, Buerhan and Masih, Abul Mansur M. (2014): Diversification in Crude Oil and Other Commodities: A Comparative Analysis.

Abdullah, Ahmad Monir and Saiti, Buerhan and Masih, Abul Mansur M. (2014): The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis.

Adekunle, Salami Saheed and Masih, Mansur (2017): Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.

Ahmed, Azleen Rosemy and Masih, Mansur (2017): What is the link between financial development and income inequality? evidence from Malaysia.

Ahsan, Zainab Fida and Masih, Mansur (2016): Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?

Akcay, Belgin and Yucel, Eray (2014): Does the Speed of Change over the House Price Cycles Matter?

Aknouche, Abdelhakim (2013): Periodic autoregressive stochastic volatility.

Aknouche, Abdelhakim and Al-Eid, Eid and Demouche, Nacer (2016): Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models.

Al Shugaa, Ameen and Masih, Mansur (2014): Uncertainty and Volatility in MENA Stock Markets During the Arab Spring.

Alaaabed, Alaa and Masih, Mansur (2014): Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system.

Alaabed, Alaa and Masih, Mansur (2014): Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry.

Albis, Manuel Leonard F. and Mapa, Dennis S. (2014): Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models.

Alexandre, Michel and Antônio Silva Brito, Giovani and Cotrim Martins, Theo (2017): Default contagion among credit modalities: evidence from Brazilian data.

Ali, Hakim and Masih, Mansur (2016): Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia.

Ali, Mohsin and Masih, Mansur (2014): Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis.

Angelidis, Timotheos and Degiannakis, Stavros and Filis, George (2015): US stock market regimes and oil price shocks. Published in: Global Finance Journal No. 28 (2015): pp. 132-146.

Asadov, Alam and Masih, Mansur (2016): Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market.

Awaludin, Fadhlee and Masih, Mansur (2015): Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk.

Ayub, Aishahton and Masih, Mansur (2013): Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis.

Ayub, Aishaton and Masih, Mansur (2013): The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach.

B

BEKHALED, Aicha and DADENE, Abdelghani and CHIKHI, Mohamed (2014): اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011. Published in: El-Bahith Review No. 14 (2014): pp. 260-274.

Barnett, William and Chauvet, Marcelle and Leiva-Leon, Danilo and Su, Liting (2016): Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates.

Barnett, William and Chauvet, Marcelle and Leiva-Leon, Danilo and Su, Liting (2016): The credit-card-services augmented Divisia monetary aggregates.

Barnett, William and Su, Liting (2016): Risk adjustment of the credit-card augmented Divisia monetary aggregates.

Ben Naceur, Hassen (2014): Stock Market Indexes: A random walk test with ARCH (q) disturbances. Published in: International Journal of Innovation and Scientific Research , Vol. 8, No. 2 (September 2014): pp. 305-316.

Bensalma, Ahmed (2015): New Fractional Dickey and Fuller Test. Forthcoming in: IEEE Conference paper

Bhattacharyya, Malay and Madhav R, Siddarth (2012): A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns. Published in: Journal of Mathematical Finance , Vol. 2, No. 1 (2012): pp. 13-30.

Bonga-Bonga, Lumengo (2015): Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model.

Bonga-Bonga, Lumengo and Mabe, Queen Magadi (2016): How financially integrated are trading blocs in Africa?

Bonga-Bonga, Lumengo and Mwamba, Muteba (2015): A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models.

Bonga-Bonga, Lumengo and Nleya, Lebogang (2016): Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models.

Bonga-Bonga, Lumengo and Umoetok, Ekerete (2015): The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa.

Bouoiyour, Jamal and Selmi, Refk (2016): The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach.

Bouoiyour, Jamal and Selmi, Refk and Miftah, Amal (2016): On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation.

Broni, Mohammed Yaw and Masih, Mansur (2017): Does a country’s external debt level affect its Islamic banking sector development? evidence from Malaysia based on quantile regression and markov regime switching.

Brummelhuis, Raymond and Luo, Zhongmin (2017): CDS Rate Construction Methods by Machine Learning Techniques.

Bua, Giovanna and Trecroci, Carmine (2016): International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?

Bukhari, Naseem and Masih, Mansur (2016): An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan.

Buriev, Abdul Aziz and Masih, Mansur (2015): Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches.

Byrne, Joseph P and Ibrahim, Boulis Maher and Sakemoto, Ryuta (2017): Carry Trades and Commodity Risk Factors.

Byrne, Joseph P and Ibrahim, Boulis Maher and Sakemoto, Ryuta (2017): The Time-Varying Risk Price of Currency Carry Trades.

Byrne, Joseph P and Korobilis, Dimitris and Ribeiro, Pinho J (2014): On the Sources of Uncertainty in Exchange Rate Predictability.

Bławat, Bogusław (2012): The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model. Published in: Zeszyty Naukowe Uniwersytetu Szczecińskiego , Vol. 689, No. 50 (2012): pp. 385-390.

C

CHIKHI, Mohamed (2011): Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie. Published in: Recherches Economiques et Managériales , Vol. 9, (June 2011): pp. 1-15.

CHIKHI, Mohamed (2017): Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange.

Cakir, Murat (2005): Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz.

Caporin, Massimiliano and Jimenez-Martin, Juan-Angel and Gonzalez-Serrano, Lydia (2013): Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.

Caporin, Massimiliano and Kolokolov, Aleksey and Renò, Roberto (2014): Multi-jumps.

Cayton, Peter Julian (2015): A Nonparametric Option Pricing Model Using Higher Moments.

Cayton, Peter Julian and Ho, Kin-Yip (2015): A Nonparametric Option Pricing Model Using Higher Moments.

Cevik, Emrah Ismail and Pekkaya, Mehmet (2007): SPOT VE VADELİ İŞLEM FİYATLARININ VARYANSLARI ARASINDAKİ NEDENSELLİK TESTİ. Published in: Dokuz Eylül İİBF Dergisi , Vol. 2, No. 22 (2007): pp. 49-66.

Chadwick, Meltem (2010): Performance of Bayesian Latent Factor Models in Measuring Pricing Errors.

Chang, Chia-Lin (2014): Modelling a Latent Daily Tourism Financial Conditions Index.

Chang, Chia-Lin and Hu, Shing-Yang and Yu, Shih-Ti (2014): Recent Developments in Quantitative Finance: An Overview.

Chen, Bai and Masih, Mansur (2017): Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches.

Chikhi, Mohamed and Terraza, Michel (2002): Un essai de prévision non paramétrique de l'action France Télécom. Published in: Working paper LAMETA No. 07 (December 2003): pp. 1-22.

Chkili, Walid (2015): Gold-oil prices co-movements and portfolio diversification implications.

Chowdhury, M. Ashraful Ferdous and Haque, M. Mahmudul and Alhabshi, Syed Othman and Masih, Abul Mansur M. (2016): Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches. Published in:

Chowdhury, Mohammad Ashraful Ferdous and Masih, Mansur (2015): Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach.

Citak, Yusuf Ensar and Masih, Mansur (2017): Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey.

Ciuiu, Daniel (2013): Qualitative variables and their reduction possibility. Application to time series models. Published in: Proceedings of the XI Balkan Conference on Operational Research, Belgrade & Zlatibor, 7-11 September, 2013 (November 2013): pp. 782-791.

Cosma, Antonio and Galli, Fausto (2014): A non parametric ACD model.

Cuestas, Juan Carlos and Huang, Ying and Tang, Bo (2016): Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?

D

De Luca, Giovanni and Zuccolotto, Paola (2013): A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering.

Delavari, Majid and Gandali Alikhani, Nadiya and Naderi, Esmaeil (2013): Does long memory matter in forecasting oil price volatility?

Demiralay, Sercan and Ulusoy, Veysel (2014): Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models.

Dewandaru, Ginanjar and Alaoui, AbdelKader and Bacha, Obiyathulla and Masih, Mansur (2014): Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices.

Dewandaru, Ginanjar and Alaoui, Abdelkader and Masih, A. Mansur M. and Alhabshi, Syed Othman (2013): Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis.

Dewandaru, Ginanjar and Rizvi, Syed Aun and Sarkar, Kabir and Bacha, Obiyathulla and Masih, Mansur (2014): How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries.

Didenko, Alexander and Dubovikov, Michael and Poutko, Boris (2015): Forecasting Coherent Volatility Breakouts. Published in: Bulletin of Financial University , Vol. 85, No. 1 (March 2015): pp. 30-36.

Djennad, Abdelmajid and Rigby, Robert and Stasinopoulos, Dimitrios and Voudouris, Vlasios and Eilers, Paul (2015): Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications.

Dumitriu, Ramona and Stefanescu, Razvan (2013): DOW effects in returns and in volatility of stock markets during quiet and turbulent times. Published in: Proceedings of the 5th International Conference on Economics and Administration No. 2013 (22 May 2013): pp. 143-169.

Dwihasri, Dhaifina and Masih, Mansur (2015): Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis.

E

El Ghini, Ahmed and Saidi, Youssef (2014): Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis. Published in: Empirical Economics No. http://link.springer.com/article/10.1007/s00181-016-1110-8 (8 June 2016)

El Ghourabi, Mohamed and Francq, Christian and Telmoudi, Fedya (2013): Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.

El khamlichi, Abdelbari and HOANG, Thi Hong Van and Wong, Wing-Keung (2017): Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis.

Ellul, Reuben (2015): Analysing correlation between the MSE index and global stock markets. Published in: Xjenza Online - Journal of the Malta Chamber of Scientists , Vol. 3, No. 2 (December 2015): pp. 105-114.

Ermişoğlu, Ergun and Akçelik, Yasin and Oduncu, Arif and Taşkın, Temel (2013): The Effects of Additional Monetary Tightening on Exchange Rates.

Erten, Irem and Tuncel, Murat B. and Okay, Nesrin (2012): Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach.

Escobari, Diego and Garcia, Sergio and Mellado, Cristhian (2017): Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. Forthcoming in: Emerging Markets Review

Escribano, Alvaro and Sucarrat, Genaro (2016): Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.

Estrada, Fernando (2014): Rescue costs and financial risk.

Ezzat, Hassan (2012): The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange. Published in: Journal of Money, Investment and Banking No. 27 (March 2013): pp. 68-85.

Ezzat, Hassan (2013): Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange. Published in: International Research Journal of Finance and Economics No. 113 (August 2013): pp. 136-146.

el Alaoui, AbdelKader and Diwandaru, Ginanjar and Rosly, Saiful Azhar and Masih, Mansur (2014): What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries.

el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage versus volatility: Evidence from the Capital Structure of European Firms.

el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening.

el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage, return, volatility and contagion: Evidence from the portfolio framework.

F

Fan, Jianqing and Liao, Yuan and Shi, Xiaofeng (2013): Risks of large portfolios.

Farouk, Faizal and Masih, Mansur (2014): Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity.

Fengler, Matthias R. and Herwartz, Helmut (2015): Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models.

Forson, Joseph Ato and Janrattanagul, Jakkaphong (2014): Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand. Published in: Contemporary Economics , Vol. 8, No. 2 (30 June 2014): pp. 154-174.

Francq, Christian and Jiménez Gamero, Maria Dolores and Meintanis, Simos (2015): Tests for sphericity in multivariate garch models.

Francq, Christian and Sucarrat, Genaro (2015): Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.

Francq, Christian and Sucarrat, Genaro (2013): An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.

Francq, Christian and Zakoian, Jean-Michel (2015): Joint inference on market and estimation risks in dynamic portfolios.

Francq, Christian and Zakoian, Jean-Michel (2015): Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels.

Fry, John (2013): Bubbles, shocks and elementary technical trading strategies.

Fulli-Lemaire, Nicolas (2013): A Tale of Two Eurozones: Banks’ Funding, Sovereign Risk & Unconventional Monetary Policies.

fajardo, José (2016): A New Factor to Explain Implied Volatility Smirk.

G

Galli, Fausto (2014): Stochastic conditonal range, a latent variable model for financial volatility.

Galli, Fausto (2014): Stochastic conditonal range, a latent variable model for financial volatility.

Gencer, Murat and Unal, Gazanfer (2016): Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities.

Ghassan, Hassan B. and Alhajhoj, Hassan R. (2012): أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي. Published in: Journal of Development and Economic Policies , Vol. 14, No. 2 (2012): pp. 7-39.

Golinski, Adam and Madeira, Joao and Rambaccussing, Dooruj (2014): Fractional Integration of the Price-Dividend Ratio in a Present-Value Model.

Golmohammadpoor Azar, Kamran (2014): Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform. Published in: First National Conference of Applied Statistics, Department of Statistics, Islamic Azad University of Tabriz, Tabriz, Iran. (23 June 2014)

Golovan, Sergei and Nazin, Vladimir and Peresetsky, Anatoly (2010): Непараметрические оценки эффективности российских банков. Published in: Экономика и математические методы , Vol. 46, No. 3 (2010): pp. 43-57.

Griffin, Jim and Liu, Jia and Maheu, John M (2016): Bayesian Nonparametric Estimation of Ex-post Variance.

Gulzar, Rosana and Masih, Mansur (2015): Islamic banking: 40 years later, still interest-based? Evidence from Malaysia.

H

Hakim, Idwan and Masih, Mansur (2014): Portfolio diversification strategy for Malaysia: International and sectoral perspectives.

Halim, Asyraf Abdul and Ariff, Muhammad and Masih, A. Mansur M. (2016): The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis.

Hanifa, Mohamed Hisham and Masih, Mansur (2013): Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore.

Haniff, Norazza Mohd and Masih, Mansur (2016): Shariah stocks as an inflation hedge in Malaysia.

Hasbullah, Faruq and Masih, Mansur (2016): Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets.

Hashim, Khairul and Masih, Mansur (2014): What causes economic growth in Malaysia: exports or imports ?

Hashim, Khairul Khairiah and Masih, Mansur (2015): Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches.

Hasnul, Al Gifari and Masih, Mansur (2016): Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach.

Hasson, Ashwaq and Masih, Mansur (2017): Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL.

Heidari, Hassan and Ebrahimi Torki, Mahyar and Babaei Balderlou, Saharnaz (2015): How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?

Hina, Hafsa and Qayyum, Abdul (2015): Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis.

Hiremath, Gourishankar S and Bandi, Kamaiah (2010): Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test. Published in: Banking and Finance Letters , Vol. 2, No. 4 (2010): pp. 371-390.

Hiremath, Gourishankar S and Bandi, Kamaiah (2009): On the random walk characteristics of stock returns in India. Published in: Artha Vijnana , Vol. 51, No. 1 (2009): pp. 85-96.

Hiremath, Gourishankar S and Kumari, Jyoti (2014): Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India. Published in: SpringPlus , Vol. 428, No. 3 (2014): pp. 1-14.

Hodori, Arif and Masih, Mansur (2017): Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach.

Hosen, Mosharrof and Masih, Mansur (2017): Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches.

Hu, Zongyi and Li, Chao (2015): Investor Sentiment and Irrational Speculative Bubble Model.

Hussan, Subithabhanu and Masih, Mansur (2014): Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia.

I

Ilhan, Bilal and Masih, Mansur (2014): Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis.

Isaev, Mirolim and Masih, Mansur (2017): Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia.

Isaev, Mirolim and Masih, Mansur (2017): The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia.

Ismail, Mohamed Ayaz Mohamed and Masih, Mansur (2015): Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia.

Ivanov, Sergei (2014): Exploiting of interest rates fundamental inefficiency.

Izatov, Asset (2014): Testing the Effect of the Conflict in Georgia in 2008 on Energy Market.

J

Jaffar, Yusuf and Masih, Mansur (2014): Exploring portfolio diversification opportunities through venture capital financing.

Jailani, Mohamad Zaky and Masih, Mansur (2015): Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore.

Jaramba, Toddy and Fadiran, Gideon (2009): Analysis of Volatility transmission across South African Financial Markets.

Jin, Xin and Maheu, John M (2014): Bayesian Semiparametric Modeling of Realized Covariance Matrices.

Jin, Xin and Maheu, John M (2014): Modeling Covariance Breakdowns in Multivariate GARCH.

Jiranyakul, Komain (2011): On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence. Published in: Asian Social Science , Vol. 7, No. 7 (July 2011): pp. 115-123.

Jones, Clive (2015): Predictability of the daily high and low of the S&P 500 index.

K

Kabir, Sarkar Humayun and Masih, Mansur (2014): Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia.

Kakorina, Ekaterina (2014): Forecasting conditional volatility on the RIN market using MS GARCH model.

Kamarudin, Eka Azrin and Masih, Mansur (2015): Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis.

Kamaruzdin, Thaqif and Masih, Mansur (2014): An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches.

Karapanagiotidis, Paul (2014): Dynamic State-Space Models.

Karapanagiotidis, Paul (2014): Dynamic modeling of commodity futures prices.

Karapanagiotidis, Paul (2013): Empirical evidence for nonlinearity and irreversibility of commodity futures prices.

Karkowska, Renata (2014): Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis.

Karkowska, Renata (2013): The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility. Published in: Faculty of Management Working Paper Series , Vol. No 3, No. No 3/ 2013 (October 2013): pp. 1-13.

Komijani, Akbar and Naderi, Esmaeil and Gandali Alikhani, Nadiya (2013): A Hybrid Approach for Forecasting of Oil Prices Volatility.

Korkmaz, Turhan and Cevik, Emrah Ismail and Özataç, Nesrin (2009): Testing for long memory in ISE using Arfima-Figarch model and structural break test. Published in: International Research Journal of Finance and Economics No. 26 (April 2009): pp. 186-191.

Krishnankutty, Raveesh and Tiwari, Aviral Kumar (2011): Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test. Published in: Journal of Emerging Financial Markets , Vol. Vol.2, No. No. 1 (31 December 2011): pp. 37-45.

L

Lal, Amant (2009): An Empirical Time Series Model of Economic Growth and Environment.

Langedijk, Sven and Monokroussos, George and Papanagiotou, Evangelia (2015): Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2015): Quantum microeconomics theory.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2015): Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks.

Lim, Siok Jin and Masih, Mansur (2017): Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches.

Liu, Jia and Maheu, John M (2015): Improving Markov switching models using realized variance.

Liu, Xiaochun (2013): Markov-Switching Quantile Autoregression.

Lo, Chi-Sheng (2016): Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan.

Lof, Matthijs (2013): Essays on Expectations and the Econometrics of Asset Pricing.

Lokman, Azarahiah and Masih, Mansur (2016): What drives banks’ willingness to lend to SMEs? An ARDL approach.

M

Maheu, John M and Shamsi, Azam (2016): Nonparametric Dynamic Conditional Beta.

Maheu, John M and Yang, Qiao (2015): An Infinite Hidden Markov Model for Short-term Interest Rates.

Majeed, Ayesha and Masih, Mansur (2016): A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan.

Malhotra, Karan (2012): Multiperiod Black Litterman Asset Allocation Model.

Mantai, Mohammed Mahmoud and Masih, Mansur (2016): Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis.

Mapa, Dennis S. and Paz, Nino Joseph I. and Eustaquio, John D. and Mindanao, Miguel Antonio C. (2014): Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model.

Marin, J. Miguel and Sucarrat, Genaro (2012): Financial Density Selection. Published in: The European Journal of Finance , Vol. 21, No. 13-14 (2015): pp. 1195-1213.

Masih, Mansur and AbdulKarim, Fatima (2014): Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study.

Masih, Mansur and Majid, Hamdan Abdul (2013): Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis.

Masih, Mansur and Majid, Hamdan Abdul (2013): Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis.

Masih, Mansur and Majid, Hamdan Abdul (2013): The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications.

Medovikov, Ivan (2014): Can Analysts Predict Rallies Better Than Crashes?

Mehta, Anirudh and Kanishka, Kunal (2014): Modeling and Forecasting Volatility – How Reliable are modern day approaches?

Miglo, Anton and Wu, Congsheng (2014): Asymmetric Information and IPO Size.

Mobin, Mohammad Ashraful and Alhabshi, Syed Othman and Masih, Mansur (2015): Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches.

Mobin, Mohammad Ashraful and Masih, Mansur (2014): Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market.

Mohamad, Sharifah Fairuz Syed and Masih, Mansur (2013): Gold price movements in selected currencies: wavelet approach.

Mohamad, Sharifah Fairuz Syed and Masih, Mansur (2013): An application of MGARCH-DCC analysis on selected currencies in terms of gold Price.

Mohammad Nor, Karina and Masih, Mansur (2016): Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience.

Mohanty, Roshni and P, Srinivasan (2014): The Time-Varying Risk and Return Trade Off in Indian Stock Markets.

Mohd Haniff, NorAzza and Masih, Mansur (2016): Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach.

Mokhtar, Maznita and Masih, Mansur (2013): Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis.

Moloche, Guillermo (2001): Local Nonparametric Estimation of Scalar Diffusions.

Momin, Ebaad and Masih, Mansur (2015): Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS.

Morad, Shahidah Nailul and Masih, Mansur (2015): Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach.

Mukhoti, Sujay (2014): Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness.

Mukhoti, Sujay and Guhathakurta, Kousik (2015): Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model.

Mustapha, Ishaq Muhammad and Masih, Mansur (2016): Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis.

Muteba Mwamba, John and Mokwena, Paula (2013): International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach.

Muteba Mwamba, John and Thabo, Lethaba and Uwilingiye, Josine (2014): Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models.

Muteba Mwamba, John Weirstrass and Webb, Daniel (2014): The predictability of asset returns in the BRICS countries: a nonparametric approach.

N

Nagayev, Ruslan and Masih, Mansur (2013): The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios.

Nagayev, Ruslan and Masih, Mansur (2013): Should Shariah-compliant investors include commodities in their portfolios? New evidence.

Najibullah, Syed and Masih, Mansur (2015): Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach.

Naqi Shah, Sadia and Qayyum, Abdul (2016): Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan.

Naseer, Areef Ahmed and Masih, Mansur (2016): Expect the unexpected: housing price bubble on the horizon in Malaysia.

Naser, Hanan and Ahmed, Abdul Rashid (2016): Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models.

Naseri, Marjan and Masih, Mansur (2013): Causality between Malaysian Islamic Stock Market and Macroeconomic Variables.

Naseri, Marjan and Masih, Mansur (2014): Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia.

Nath, Golaka (2013): Liquidity Issues in Indian Sovereign Bond Market.

Naurin, Abida and Qayyum, Abdul (2016): Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model.

Nazarian, Rafik and Naderi, Esmaeil and Gandali Alikhani, Nadiya and Amiri, Ashkan (2013): Long Memory Analysis: An Empirical Investigation.

Nazeer, Abdul Malik and Masih, Mansur (2017): Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia.

Ndiaye, Ndeye Djiba and Masih, Mansur (2017): Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test.

Njindan Iyke, Bernard (2015): On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment.

Nor, Amirudin Mohd and Masih, Mansur (2017): Do Islamic banks lead or lag conventional banks? Evidence from Malaysia.

nnamdi, Kelechi and ifionu, Ebele (2013): Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012).

O

Okay, Nesrin (1998): Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange. Published in: Business & Economics for the 21st Century, Anthology , Vol. II, No. ISBN: 0-9659831-1-0 (1998): pp. 207-216.

Omer, Gamal Salih and Masih, Mansur (2014): Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC.

Oral, Ece (2012): Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis.

Othman, Arshad Nuval and Masih, Mansur (2015): Do profit and loss sharing (PLS) deposits also affect PLS financing? Evidence from Malaysia based on DOLS, FMOLS and system GMM techniques.

Othman, Arshad Nuval and Masih, Mansur (2014): The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia.

Ozili, Peterson K (2018): Bank Loan Loss Provisions, Investor Protection and the Macroeconomy. Forthcoming in: International Journal of Emerging Markets , Vol. 3, No. 13 (2018)

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P., Srinivasan (2011): Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market. Published in: The IUP Journal of Behavioral Finance , Vol. 9, No. 1 (24 March 2012): pp. 70-85.

P., Srinivasan (2014): Stock Market Development and Economic growth in India: An Empirical Analysis.

Park, Kwang Suk and Masih, Mansur (2015): Does the shariah index move together with the conventional equity indexes?

Pathan, Rubina and Masih, Mansur (2013): Relationship between macroeconomic variables and stock market index: evidence from India.

Peresetsky, Anatoly and Yakubov, Ruslan (2015): Autocorrelation in an unobservable global trend: Does it help to forecast market returns?

Pincheira, Pablo (2017): A Power Booster Factor for Out-of-Sample Tests of Predictability.

Pinelis, Iosif (2013): An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality.

Pönkä, Harri (2014): Predicting the direction of US stock markets using industry returns.

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Rafi, Umar and Masih, Mansur (2014): Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing.

Rahim, Adam Mohamed and Masih, Mansur (2014): Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors.

Rahim, Adam Mohamed and Masih, Mansur (2014): Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches.

Rahim, Yasmin and Masih, Mansur (2015): Is gold good for hedging? lessons from the Malaysian sectoral stock indices.

Rahim, Yasmin Abd and Masih, Mansur (2015): Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis.

Rahman, Sharezan and Masih, Mansur (2014): Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective.

Razak, Lutfi Abdul and Masih, Mansur (2017): Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015).

Razak, Razman and Masih, Mansur (2017): The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis.

Rendón, Stephanie (2013): Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN.

Rithuan, Syahidah Hanis Meor and Abdullah, Ahmad Monir and Masih, Abul Mansur M. (2014): The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis.

Rizvi, Aun and Masih, Mansur (2014): Oil price shocks and GCC capital markets: who drives whom?

Rizvi, Syed Aun and Masih, Mansur (2013): Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC.

Roncalli, Thierry and Weisang, Guillaume (2012): Risk Parity Portfolios with Risk Factors.

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Sahin, Afsin (2013): Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey. Published in: Athens, and ATINER's Conference Paper Series No. No. MDT2013-0382. (29 April 2013): pp. 1-19.

Saiti, Buerhan and Bacha, Obiyathulla and Masih, Mansur (2014): Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis.

Saiti, Buerhan and Masih, Mansur (2014): The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?

Schröder, Anna Louise and Fryzlewicz, Piotr (2013): Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. Published in: Statistics and Its Interface , Vol. 4, No. 6 (2013): pp. 449-461.

Seho, Mirzet and Masih, Mansur (2015): Risk sharing financing of Islamic banks: interest free or interest based?

Senarathne, Chamil W and Jayasinghe, Prabhath (2017): Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk. Published in: Economic Issues , Vol. 1, No. 22 (March 2017): pp. 1-24.

Shafaai, Shafizal and Masih, Mansur (2013): Determinants of cost of equity: The case of Shariah-compliant Malaysian firms.

Shakir, Zeeniya and Masih, Mansur (2016): How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis.

Shamsudheen, Shinaj Valangattil and Masih, Mansur (2015): Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach.

Shijaku, Gerti (2014): Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach.

Sinha, Pankaj and Agnihotri, Shalini (2015): Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM.

Sinha, Pankaj and Agnihotri, Shalini (2014): Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization.

Situngkir, Hokky (2015): On Capturing the Spreading Dynamics over Trading Prices in the Market. Published in: BFI Working Paper Series, WP-5-2015

Skintzi, Vasiliki (2017): Determinants of stock-bond market comovement in the Eurozone under model uncertainty.

Sucarrat, Genaro and Escribano, Alvaro (2013): Estimation of Log-GARCH Models in the Presence of Zero Returns.

Sucarrat, Genaro and Grønneberg, Steffen (2016): Models of Financial Return With Time-Varying Zero Probability.

Sultan, Yousuf and Masih, Mansur (2016): Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach.

Swastika, Purti and Dewandaru, Ginanjar and Masih, Mansur (2013): The Impact of Debt on Economic Growth: A Case Study of Indonesia.

Swastika, Putri and Dewandaru, Ginanjar and Masih, Mansur (2013): Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques.

shafaai, Shafizal and Masih, Mansur (2013): Stock market and crude oil relationship: A wavelet analysis.

T

T., Vasylieva and A., Lasukova (2013): Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability. Published in: Corporate ownership & Control , Vol. 10, No. 4 (2013): pp. 86-93.

Tang, Bo (2014): Exchange Rate Exposure of Chinese Firms at the Industry and Firm level. Published in: Review of Development Economics , Vol. 19, No. 3 (15 July 2015): pp. 592-607.

Tanin, Tauhidul Islam and Masih, Mansur (2017): Does economic freedom lead or lag economic growth? evidence from Bangladesh.

Tariq, Anam and Masih, Mansur (2015): Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America.

Tariq, Anam and Masih, Mansur (2016): Risk-sharing deposits in islamic banks: do interest rates have any influence on them?

Toda, Alexis Akira and Walsh, Kieran James (2016): Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models. Forthcoming in: Journal of Applied Econometrics

Tomić, Bojan (2016): Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala. Published in: Accounting and Management No. 17th International Scientific and Professional Conference (June 2016): pp. 175-192.

Trofimov, Ivan D. (2013): Nonparametric approach to portfolio diversification: the case of Australian equity market. Published in: Economia Internazionale / International Economics , Vol. 66, No. 1 (2013): pp. 87-112.

Troug, Haytem Ahmed and Sbia, Rashid (2015): The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya.

Troug, Haytem Ahmed and Sbia, Rashid (2015): Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach.

tiwari, aviral kumar and krishnankutty, Raveesh (2010): Determinants of capital Structure: comparison of empirical evidence for the use of different estimators.

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Uddin, Md Akther and Masih, Mansur (2015): Finance, growth and human development: An Islamic economic development perspective.

Uddin, Md Akther and Masih, Mansur (2016): War and peace: why is political stability pivotal for economic growth of OIC countries?

Umirah, Fatin and Masih, Mansur (2017): Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?

Urbina, Jilber (2013): Financial Spillovers Across Countries: Measuring shock transmissions.

Urbina, Jilber (2013): A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion.

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Valli, Mohammed and Masih, Mansur (2014): Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa.

Vardhan, Harsh and Sinha, Pankaj (2014): Influence of Foreign Institutional Investments (FIIs) on the Indian stock market.

Vardhan, Harsh and Sinha, Pankaj (2015): Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach.

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Wahab, Fatin Farhana and Masih, Mansur (2017): Discerning lead-lag between fear index and realized volatility.

Wanat, Stanisław and Papież, Monika and Śmiech, Sławomir (2014): Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula.

Wanat, Stanisław and Papież, Monika and Śmiech, Sławomir (2014): The conditional dependence structure between precious metals: a copula-GARCH approach.

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Yang, Bill Huajian (2017): Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure. Forthcoming in: Journal of Risk Model Validation (September 2017)

Yang, Bill Huajian (2017): Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component.

Yang, Bill Huajian (2017): Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing. Published in: Journal of Risk Model Validation , Vol. 11, No. 3 (January 2017)

Yang, Bill Huajian and Du, Zunwei (2016): Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations. Published in: Journal of Risk Model Validation , Vol. 10, No. 3 (September 2016): pp. 1-19.

Yaremenko, Nataliia (2014): Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions. Published in: Actual Problems of Economics , Vol. 10, No. 1993-6788 (2014): pp. 412-420.

Yildirim, Ramazan and Masih, A. Mansur M. (2014): The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis.

Yildirim, Ramazan and Masih, Mansur (2013): Relationship between regional Shariah stock markets: The cointegration and causality.

Youssef, Ahmed H. and El-Sheikh, Ahmed A. and Abonazel, Mohamed R. (2014): New GMM Estimators for Dynamic Panel Data Models. Published in: International Journal of Innovative Research in Science, Engineering and Technology , Vol. 3, No. 10 (October 2014): pp. 16414-16425.

Yu, Chao and Fang, Yue and Zhao, Xujie and Zhang, Bo (2013): Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise.

Yusoff, Yuzlizawati and Masih, Mansur (2014): Comovement of East and West Stock Market Indexes.

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Zaytsev, Alexander (2011): Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды. Published in: collection of best papers of international conference "Lomonosov-2011" (October 2011): 06-40.

Zhu, Ke and Li, Wai Keung (2013): A new Pearson-type QMLE for conditionally heteroskedastic models.

Zhu, Ke and Li, Wai Keung (2014): A new Pearson-type QMLE for conditionally heteroskedastic models.

Zhu, Ke and Li, Wai Keung and Yu, Philip L.H. (2014): Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates.

Ziaurrahman, Muhammad and Masih, Mansur (2016): Is financial sector development an engine of economic growth? evidence from India.

Zou, Tao and Chen, Song Xi (2014): Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices. Forthcoming in: Journal of Business and Economics Statistics (2015)

This list was generated on Sun Sep 24 20:05:09 2017 CEST.
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