Research Outputs
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Tail Risk Interdependence
Polanski, A., Stoja, E. & Chiu, J., Oct 2021, In: International Journal of Finance and Economics . 13 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)78 Downloads (Pure) -
The stock implied volatility and the implied dividend volatility
Quaye, E. N. B. & Tunaru, R., 20 Dec 2021, In: Journal of Economic Dynamics and Control. 134, 104276, 16 p., 104276.Research output: Contribution to journal › Article (Academic Journal)
Open Access -
Can Commodity-Specific Factors Improve the Forecasting Power of Macroeconomic Variables for Commodity Futures Returns
Guidolin, M. & Pedio, M., 2020, In: Annals of Operations Research.Research output: Contribution to journal › Article (Academic Journal) › peer-review
18 Citations (Scopus) -
Does foreign exchange risk matter to equity research analysts when forecasting stock prices? Evidence from U.S. firms
Ho, T. Q., Nguyen, Y., Parikh, B. & Vo, D.-T., 1 Nov 2020, In: International Review of Financial Analysis. 72, 13 p., 101568.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile5 Citations (Scopus)82 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 AccessFile20 Citations (Scopus)193 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 AccessFile6 Citations (Scopus)833 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 AccessFile4 Citations (Scopus)132 Downloads (Pure) -
Extreme downside risk and market turbulence
Harris, R. D. F., Nguyen, L. H. & Stoja, E., 2 Nov 2019, In: Quantitative Finance. 19, 11, p. 1875-1892 18 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile3 Citations (Scopus)175 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 AccessFile8 Citations (Scopus)210 Downloads (Pure) -
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 AccessFile13 Citations (Scopus)542 Downloads (Pure) -
Option-implied betas and the cross section of stock returns
Harris, R. D. F., Li, X. & Qiao, F., Jan 2019, In: Journal of Futures Markets. 39, 1, p. 94-108 15 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile5 Citations (Scopus)253 Downloads (Pure) -
Political uncertainty exposure of individual companies: The case of the Brexit referendum
Hill, P., Korczak, A. & Korczak, P., 1 Mar 2019, In: Journal of Banking and Finance. 100, p. 58-76 19 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile62 Citations (Scopus)510 Downloads (Pure) -
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 AccessFile22 Citations (Scopus)119 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 AccessFile3 Citations (Scopus)54 Downloads (Pure) -
A comparison of static and dynamic portfolio policies
Wang, J. & Taylor, N., 1 Jan 2018, In: International Review of Financial Analysis. 55, p. 111-127 17 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)767 Downloads (Pure) -
Financial market Volatility, macroeconomic fundamentals and investor Sentiment
(Jeremy) Chiu, C. W., Harris, R. D. F., Stoja, E. & Chin, M., 1 Jul 2018, In: Journal of Banking and Finance. 92, p. 130-145 16 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile67 Citations (Scopus)487 Downloads (Pure) -
Fund Flows, Manager Changes, and Performance Persistence
Bessler, W., Blake, D., Lückoff, P. & Tonks, I., Aug 2018, In: Review of Finance. 22, 5, p. 1911-1947 7 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access17 Citations (Scopus) -
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: an MEM approach
Xu, Y., Taylor, N. & Lu, W., 1 Mar 2018, In: International Review of Financial Analysis. 56, p. 208-220 13 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile17 Citations (Scopus)219 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 Access15 Citations (Scopus) -
Market Reaction to Bank Liquidity Regulation
Bruno, B., Onali, E. & Schaeck, K., 1 Apr 2018, In: Journal of Financial and Quantitative Analysis. 53, 2, p. 899-935 37 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile22 Citations (Scopus)556 Downloads (Pure) -
Network centrality and delegated investment performance
Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. & Wermers, R., Apr 2018, In: Journal of Financial Economics. 128, 1, p. 183-206 24 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access82 Citations (Scopus) -
Political donations and political risk in the UK: Evidence from a closely-fought election
Acker, D., Orujov, A. & Simpson, H., 1 Jul 2018, In: Journal of Banking and Finance. 92, p. 146-167 22 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile4 Citations (Scopus)282 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 AccessFile9 Citations (Scopus)219 Downloads (Pure) -
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 Access15 Citations (Scopus) -
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors
Onali, E., Ginesti, G. & Ballestra, L. V., May 2017, In: Finance Research Letters. 21, p. 72-77 6 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access16 Citations (Scopus)