Econometric Research in Finance

2016 - 2022

Current editor(s): Dobromił Serwa and Piotr Wdowiński

From SGH Warsaw School of Economics, Collegium of Economic Analysis
Contact information at EDIRC.
Bibliographic data for series maintained by Dobromił Serwa ().

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External Debt, Domestic Debt and Inflation in Nigeria: A Multivariate Granger-Causality Test pp. 143-169: Akingbade Aimola and Nicholas Odhiambo

The Effect of Target-Country Institutions on Cross-Border Merger and Acquisition Activity: A Quantitative Literature Survey pp. 1-70: Josef C. Brada and Ichiro Iwasaki
Do Capital Inflows and Financial Development, Influence Economic Growth in West Africa? Further Evidence from Transmission Mechanisms pp. 71-94: Anthony Orji, Jonathan E. Ogbuabor, Chiamaka F. Okolomike and Onyinye I. Anthony-Orji
How Do Stock Indices Respond to Market Shocks? Examining Stock Market Contagion in European Countries with Minimum Spanning Trees pp. 95-123: DÃ³ra Sallai, MercÃ©desz MÃ©szÃ¡ros and Gábor Dávid Kiss
Index Option Pricing via Nonparametric Regression pp. 125-142: Ka Po Kung

Effect of Real Estate News Sentiments on the Stock Returns of Swedbank and SEB Bank pp. 77-117: Yuliia Puzanova and Mustafa Hakan Eratalay
Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks pp. 119-137: Rayan H. Assaad and Sara Fayek
Corporate Tax Aggressiveness and Corporate Investment Expenditure in Nigeria and Ghana pp. 139-161: Ifeanyi Francis Osegbue, John Ogbonnia Obasi, Chitom Racheal John-Akamelu and Chizoba Mary Nwoye
Integrated Reporting and Firm Value in the Nigerian and South African Oil and Gas Sector pp. 163-181: Chizoba Mary Nwoye, Patrick Amaechi Egbunike and Ifeanyi Francis Osegbue
An Innovative Artificial Intelligence and Natural Language Processing Framework for Asset Price Forecasting Based on Islamic Finance: A Case Study of the Saudi Stock Market pp. 183-196: Klemens Katterbauer and Philippe Moschetta

Does Foreign Presence Influence the Level of Firm Technical Efficiency? Evidence from Africa pp. 1-20: Anthony Orji, Jonathan E. Ogbuabor, Gabriel Chiangi Aza and Onyinye I. Anthony-Orji
Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries pp. 21-44: MercÃ©desz MÃ©szÃ¡ros, DÃ³ra Sallai and Gábor Dávid Kiss
A Probabilistic-Based Portfolio Resampling Under the Mean-Variance Criterion pp. 45-56: Anmar Al Wakil
Dynamic Connectivity in a Financial Network Using Time-Varying DCCA Correlation Coefficients pp. 57-75: Paulo Ferreira, Oussama Tilfani, Ã‰ der Pereira, CleÃ³nidas Tavares, Hernane Pereira and My Youssef El Boukfaoui

The Dynamic Linkage between Money Market, Capital Market and Economic Growth in Ghana: New Lessons Relearned pp. 59-78: Isaac Azubuike Ogbuji, Ekundayo Mesagan and Olorunfemi Alimi
Nutrition Intake, Health Status, Education and Economic Growth: A Causality Investigation pp. 79-102: Rahman Olanrewaju Raji
Forecasting the Yield Curve for Poland pp. 103-117: Tomasz Piotr Kostyra and Michał Rubaszek
Analysis of Tax Compliance in Sub-Saharan Africa: Evidence from Firm-Level Study pp. 119-142: Adamu Jibir, Musa Abdu and Tasiu Muhammad
Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy pp. 143-157: Ismet Gocer and Serdar Ongan

Climatic Variations and Spatial Price Differentials of Perishable Foods in Nigeria pp. 1-15: Lateef Akanni
Exploring the Likelihood of a Country Being a Tax Haven Using MIMIC Models pp. 17-32: Paulo Mourão
Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility pp. 33-57: Gábor Dávid Kiss and Mercédesz Mészáros

The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange pp. 67-88: Mostafa Raeisi Sarkandiz and Robabeh Bahlouli
Testing the Validity of the Triple Deficit Hypothesis for Nigeria pp. 89-109: Rahman Olanrewaju Raji
Testing for VECM Granger Causality and Cointegration Between Economic Growth and Renewable Energy: Evidence from MENA Net Energy Importing Countries pp. 111-131: Badry Hechmy
On The Accuracy of GARCH Estimation in R Packages pp. 133-156: Chelsey Hill and B McCullough

Does Forward Guidance Matter in Small Open Economies? Examples from Europe pp. 1-26: Jakub Rybacki
A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt pp. 27-40: Leonardo Tariffi
Adjusted Evaluation Measures for Asymmetrically Important Data pp. 41-66: Alex Karagrigoriou, George-Jason Siouris and Despoina Skilogianni

The Wage Curve, Once More with Feeling: Bayesian Model Averaging of Heckit Models pp. 79-92: Rolando Gonzales Martínez
Corporate Governance and Efficiency of Rural and Community Banks (RCBs) in Ghana pp. 93-118: Eric Oteng-Abayie, Anthony Affram and Henry Kofi Mensah
Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach pp. 119-162: Tihana Škrinjarić

The Effect of Central Bank Communication on the Capital Buffer of Banks: Evidence from an Emerging Economy pp. 1-26: Rodolfo Nicolay, Claudio de Moraes and Bruno Tiberto
The U.S. Shale Oil Revolution and the Behavior of Commodity Prices pp. 27-53: Afees Salisu and Idris Adediran
Determinants of Environmental Quality in Nigeria: Assessing the Role of Financial Development pp. 55-78: Ekundayo Mesagan and Mike I. Nwachukwu

Neural Networks in Credit Risk Classification of Companies in the Construction Sector pp. 63-77: Aleksandra Wójcicka
Determination of Long and Short Run Demand for Money in the West African Monetary Zone (WAMZ) Countries: A Panel Analysis pp. 79-97: Agya Adi and Joshua Sunday Riti
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions pp. 99-111: Giovanni De Luca, Giampiero Gallo and Danilo Carità

Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data pp. 1-21: Michał Chojnowski and Piotr Dybka
Modelling Nonlinear Dynamics of Oil Futures Market pp. 23-42: Ayben Koy
Financial Instability and Inequality Dynamics in the WAEMU pp. 43-62: Thierno Thioune

Apple, Alphabet or Microsoft: Which Is the Most Efficient Share? pp. 67-79: Paulo Ferreira
Market Structure, Macroeconomic Shocks, and Banking Risk in Kenya pp. 81-113: Nderitu Kingori
Governance and Financial Development: Evidence from the Middle East and North Africa Region pp. 115-127: Badry (ph.d) Hechmy

Forecasting the Yield Curve With Macroeconomic Variables pp. 1-21: Michał Rubaszek
Determinants of Profitability of Polish Banks: The Role of Foreign Banks pp. 23-46: Małgorzata Pawłowska
Using Nonperforming Loan Ratios to Compute Loan Default Rates With Evidence From European Banking Sectors pp. 47-65: Dobromił Serwa