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• The dynamics of returns predictability in cryptocurrency markets

  Bianchi, D., Guidolin, M. & Pedio, M., 8 Jun 2022, In: European Journal of Finance. 29, 6

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access
  4 Citations (Scopus)

• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods

  Blake, D., Caulfield, T., Ioannidis, C. & Tonks, I., 1 Dec 2014, In: Journal of Econometrics. 183, 2, p. 202-210

  Research output: Contribution to journal › Article (Academic Journal) › peer-review
  14 Citations (Scopus)

• Short and long memory in stock returns data

  Goddard, J. & Onali, E., Oct 2012, In: Economics Letters. 117, 1, p. 253-255 3 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review
  12 Citations (Scopus)

• Realised variance forecasting under Box-Cox transformations

  Taylor, N., Oct 2017, In: International Journal of Forecasting. 33, 4, p. 770-785 16 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  20 Citations (Scopus)

  355 Downloads (Pure)

• The Type of Corporate Announcements and Its Implication on Trading Behavior

  Zheng, L., 24 Apr 2020, In: Accounting and Finance. 60, S1, p. 629-659 31 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

  File
  5 Citations (Scopus)

  806 Downloads (Pure)

• Forecasting returns in the VIX futures market

  Taylor, N., 1 Oct 2019, In: International Journal of Forecasting. 35, 4, p. 1193-1210 18 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  8 Citations (Scopus)

  206 Downloads (Pure)

• On the Other Side of Hedge Fund Equity Trades

  Cui, X., Kolokolova, O. & Wang, G., 1 Jun 2024, In: Management Science. 70, 6, p. 3684-3710 27 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  1 Citation (Scopus)

  72 Downloads (Pure)

• The Effect of the Reforms to Compulsion on Annuity Demand

  Cannon, E., Tonks, I. & Yuille, R., 1 Aug 2016, In: National Institute Economic Review. 237, 1, p. R47-R54 8 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

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  6 Citations (Scopus)

  622 Downloads (Pure)

• Cohort mortality risk or adverse selection in annuity markets?

  Cannon, E. S. & Tonks, I., Sept 2016, In: Journal of Public Economics. 141, p. 68-81 14 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  6 Citations (Scopus)

  700 Downloads (Pure)

• Forecasting multidimensional tail risk at short and long horizons

  Stoja, E. & Polanski, A., 1 Oct 2017, In: International Journal of Forecasting. 33, 4, p. 958-969 12 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  8 Citations (Scopus)

  217 Downloads (Pure)

• Equity Premium Forecasts with an Unknown Number of Structural Breaks

  Bulkley, G., Smith, S. & leslie, D., 12 Jan 2019, (E-pub ahead of print) In: Journal of Financial Econometrics. 36 p., nby034.

  Research output: Contribution to journal › Article (Academic Journal)

  Open Access

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  4 Citations (Scopus)

  128 Downloads (Pure)

• Telling tales from the tails: High-dimensional tail interdependence

  Polanski, A., Stoja, E. & Windmeijer, F., 1 Aug 2019, In: Journal of Applied Econometrics. 34, 5, p. 779-794 16 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  3 Citations (Scopus)

  54 Downloads (Pure)

• Corporate diversification and stock risk: Evidence from a global shock

  Onali, E. & Mascia, D. V., Feb 2022, In: Journal of Corporate Finance. 72, 102150.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access
  17 Citations (Scopus)

• Market reaction to bank liquidity regulation

  Bruno, B., Onali, E. & Schaeck, K., 1 Apr 2018, In: Journal of Financial and Quantitative Analysis.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review
  22 Citations (Scopus)

• Tail Risk Interdependence

  Polanski, A., Stoja, E. & Chiu, J., 1 Sept 2020, (E-pub ahead of print) In: International Journal of Finance and Economics . 13 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  1 Citation (Scopus)

  77 Downloads (Pure)

• New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

  Blake, D., Caulfield, T., Ioannidis, C. & Tonks, I., 1 Jun 2017, In: Journal of Financial and Quantitative Analysis. 52, 03, p. 1279-1299 21 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review
  22 Citations (Scopus)

• Anticipating the Value of Share Repurchase Announcements: The Role of Short Sellers

  Zheng, L., 7 Jul 2021, In: International Journal of Finance and Economics . 26, 3, p. 3544 - 3555 12 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

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  1 Citation (Scopus)

  113 Downloads (Pure)

• Unifractality and multifractality in the Italian stock market

  Onali, E. & Goddard, J., Sept 2009, In: International Review of Financial Analysis. 18, 4, p. 154-163 10 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review
  63 Citations (Scopus)

• Systematic extreme downside risk

  Harris, R., Nguyen, L. & Stoja, E., 1 Jul 2019, In: Journal of International Financial Markets, Institutions and Money. 61, p. 128-142 15 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  21 Citations (Scopus)

  118 Downloads (Pure)

• Whose opinion matters when insiders disagree with short sellers?

  Zheng, L. & Wang, S., 23 Nov 2022, (E-pub ahead of print) In: Journal of Business Finance and Accounting. 45 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  44 Downloads (Pure)

• Long memory and multifractality: A joint test

  Goddard, J. & Onali, E., 1 Jun 2016, In: Physica A: Statistical Mechanics and its Applications. 451, p. 288-294 7 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access
  2 Citations (Scopus)

• Model-based earnings forecasts vs. financial analysts' earnings forecasts

  Harris, R. D. F. & Wang, P., 1 Jun 2019, In: British Accounting Review. 51, 4, p. 424-437 14 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  13 Citations (Scopus)

  534 Downloads (Pure)

• Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach

  Allard, A.-F., Iania, L. & Smedts, K., 1 Oct 2020, In: International Review of Financial Analysis. 71, 12 p., 101557.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access

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  20 Citations (Scopus)

  189 Downloads (Pure)

• Insider trading and the post-earnings announcement drift

  Dargenidou, C., Tonks, I. & Tsoligkas, F., 1 Mar 2018, In: Journal of Business Finance and Accounting. 45, 3-4, p. 482-508 27 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access
  14 Citations (Scopus)

• Institutional Investors and the QE Portfolio Balance Channel

  Joyce, M. A. S., Liu, Z. & Tonks, I., Sept 2017, In: Journal of Money, Credit and Banking. 49, 6, p. 1225-1246 22 p.

  Research output: Contribution to journal › Article (Academic Journal) › peer-review

  Open Access
  14 Citations (Scopus)