Essex Finance Centre Working Papers

From University of Essex, Essex Business School
Contact information at EDIRC.
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39310: A comprehensive analysis of transactions in the Greek residential property market

Alexandros Kontonikas and Emmanouil Pyrgiotakis

39178: A New Heteroskedasticity-Robust Test for Explosive Bubbles

David I Harvey, Stephen J Leybourne, AM Robert Taylor and Yang Zu

38947: Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors

Sam Astill, David I Harvey, Stephen J Leybourne and AM Robert Taylor

37486: Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach

Matei Demetrescu, Paulo Rodrigues and AM Robert Taylor

37485: High Frequency Trading and Stock Herding

Servanna Mianjun Fu, Neil Kellard, Thanos Verousis and Iordanis Kalaitzoglou

35634: Long-Run Movements in Real Exchange Rates: 1264 to 2020

Neil Kellard, Jakob Madsen and Stuart Snaith

35133: Improved Tests for Stock Return Predictability

David I Harvey, Stephen J Leybourne and AM Robert Taylor

34837: Forecasting Value-at-Risk using deep neural network quantile regression

Ilias Chronopoulos, Aristeidis Raftapostolos and George Kapetanios

33709: Corporate governance with crowd investors in innovative entrepreneurial finance: Nominee structure and coinvestment in equity crowdfunding

Jerry Coakley, Douglas Cumming, Aristogenis Lazos and Silvio Vismara

33708: Private bank deposits and macro/fiscal risk in the euro-area

Michael G Arghyrou, Maria-Dolores Gadea and Alexandros Kontonikas

33707: Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

H Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis and AM Robert Taylor

33045: Choosing between persistent and stationary volatility

Ilias Chronopoulos, Liudas Giraitis and George Kapetanios

32447: Bonferroni Type Tests for Return Predictability and the Initial Condition

Sam Astill, David I Harvey, Stephen J Leybourne and AM Robert Taylor

32331: Stock returns predictability with unstable predictors

Fabio Calonaci, George Kapetanios and Simon Price

31556: The Rise of Regional Financial Cycle and Domestic Credit Markets in Asia

Chiara Banti and Udichibarna Bose

30947: ESG issues in emerging markets and the role of banks

Thankom Arun, Claudia Girardone and Stefano Piserà

30946: How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market

Radu-Dragomir Manac, Chiara Banti and Neil Kellard

30945: Commodity price uncertainty comovement: Does it matter for global economic growth?

Laurent Ferrara, Aikaterini Karadimitropoulou and Athanasios Triantafyllou

30620: Transformed Regression-based Long-Horizon Predictability Tests

Matei Demetrescu, Paulo Rodrigues and AM Robert Taylor

30149: Trade Credit and Firm Investments: Empirical Evidence from Italian Cooperative Banks

Stefano Filomeni, Michele Modina and Elena Tabacco

29814: Simple Tests for Stock Return Predictability with Good Size and Power Properties

David I Harvey, Stephen J Leybourne and AM Robert Taylor

29779: Extensions to IVX Methods of Inference for Return Predictability

Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor

29778: Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks

Fabrizio Iacone, Morten Nielsen and AM Robert Taylor

29777: Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume

Marina Balboa, Paulo Rodrigues, Antonio Rubia and AM Robert Taylor

29200: Stock market volatility and jumps in times of uncertainty

Anastasios Megaritis, Nikolaos Vlastakis and Athanasios Triantafyllou

29019: Corporate Credit Default Swap Systematic Factors

Ka Kei Chan, Ming-Tsung Lin and Qinye Lu

27830: Does Easing Financing Matter for Firm Performance?

Udichibarna Bose, Sushanta Mallick and Serafeim Tsoukas

27775: Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium

David I Harvey, Stephen J Leybourne, Robert Sollis and AM Robert Taylor

27543: Is there a trade-off between inventories and trade credit? The role of the sovereign debt crisis

Filipa Fernandes, Alessandra Guariglia, Alexandros Kontonikas and Serafeim Tsoukas

27498: Measuring Oil Price Shocks

Nikolaos Vlastakis, Athanasios Triantafyllou and Neil Kellard

27364: Commodity Price Volatility and the Economic Uncertainty of Pandemics

Dimitrios Bakas and Athanasios Triantafyllou

27362: Volatility Forecasting in European Government Bond Markets

Ali Gencay Ozbekler, Alexandros Kontonikas and Athanasios Triantafyllou

27361: Commodity Price Uncertainty as a Leading Indicator of Economic Activity

Dimitrios Bakas, Marilou Ioakimidis and Athanasios Triantafyllou

26566: Oil price uncertainty as a predictor of stock market volatility

Nikolaos Vlastakis, Athanasios Triantafyllou and Neil Kellard

25125: Central Bank Announcements: Big News for Little People?

Michael Lamla and Dmitri Vinogradov

24921: Assessing the vulnerability to price spikes in agricultural commodity markets

Athanasios Triantafyllou, George Dotsis and Alexandros Sarris

24771: Inflation and Deflationary Biases in Inflation Expectations

Michael Lamla, Damian PJaifar and Lea Rendell

24735: Oil Price Uncertainty and the Macroeconomy

Athanasios Triantafyllou, Nikolaos Vlastakis and Neil Kellard

24137: Testing for Episodic Predictability in Stock Returns

Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor

24136: A Generalised Fractional Differencing Bootstrap for Long Memory Processes

George Kapetanios, Fotis Papailias and AM Robert Taylor

24072: Deterministic Parameter Change Models in Continuous and Discrete Time

Marcus Chambers and AM Robert Taylor

23878: Temporal aggregation of seasonally near-integrated processes

Tomás del Barrio Castro, Paulo Rodrigues and AM Robert Taylor

23707: State-level wage Phillips curves

George Kapetanios, Menelaos Tasiou, Simon Price and Alexia Ventouri

23582: Does tax enforcement matter for the cost of bank loans? Evidence from the United States

Theodora Bermpei and Antonios Kalyvas

23409: Risk, Financial Stability and FDI

Neil Kellard, Alexandros Kontonikas, Michael Lamla, Stefano Maiani and Geoffrey Wood

23347: The Implications of Central Bank Transparency for Uncertainty and Disagreement

Boonlert Jitmaneeroj, Michael Lamla and Andrew Wood

23321: Credit Default Swap Spreads: Funding Liquidity Matters!

Chiara Banti, Neil Kellard and Radu-Dragomir Manac

23320: Time varying cointegration and the UK Great Ratios

George Kapetanios, Stephen Millard, Simon Price and Katerina Petrova

23198: Detecting Regimes of Predictability in the U.S. Equity Premium

David I Harvey, Stephen Leybourne, Robert Sollis and AM Robert Taylor

22666: Machine Learning Macroeconometrics A Primer

Dimitris Korobilis