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Essex Finance Centre Working Papers

From University of Essex, Essex Business School
Contact information at EDIRC.

Bibliographic data for series maintained by Nikolaos Vlastakis ().

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25847: Does Easing Financing Matter for Firm Performance? Downloads
Udichibarna Bose, Sushanta Mallick and Serafeim Tsoukas
25125: Central Bank Announcements: Big News for Little People? Downloads
Michael Lamla and Dmitri Vinogradov
24921: Assessing the vulnerability to price spikes in agricultural commodity markets Downloads
Athanasios Triantafyllou, George Dotsis and Alexandros Sarris
24771: Inflation and Deflationary Biases in Inflation Expectations Downloads
Michael Lamla, Damian PJaifar and Lea Rendell
24735: Oil Price Uncertainty and the Macroeconomy Downloads
Athanasios Triantafyllou, Nikolaos Vlastakis and Neil Kellard
24137: Testing for Episodic Predictability in Stock Returns Downloads
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor
24136: A Generalised Fractional Differencing Bootstrap for Long Memory Processes Downloads
George Kapetanios, Fotis Papailias and AM Robert Taylor
24072: Deterministic Parameter Change Models in Continuous and Discrete Time Downloads
Marcus Chambers and AM Robert Taylor
23878: Temporal aggregation of seasonally near-integrated processes Downloads
Tomás del Barrio Castro, Paulo Rodrigues and AM Robert Taylor
23707: State-level wage Phillips curves Downloads
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 Downloads
Theodora Bermpei and Antonios Kalyvas
23409: Risk, Financial Stability and FDI Downloads
Neil M Kellard, Alexandros Kontonikas, Michael Lamla, Stefano Maiani and Geoffrey Wood
23347: The Implications of Central Bank Transparency for Uncertainty and Disagreement Downloads
Boonlert Jitmaneeroj, Michael Lamla and Andrew Wood
23321: Credit Default Swap Spreads: Funding Liquidity Matters! Downloads
Chiara Banti, Neil Kellard and Radu-Dragomir Manac
23320: Time varying cointegration and the UK Great Ratios Downloads
George Kapetanios, Stephen Millard, Simon Price and Katerina Petrova
23198: Detecting Regimes of Predictability in the U.S. Equity Premium Downloads
David Harvey, Stephen J Leybourne, Robert Sollis and AM Robert Taylor
22666: Machine Learning Macroeconometrics A Primer Downloads
Dimitris Korobilis
22665: Variational Bayes inference in high-dimensional time-varying parameter models Downloads
Dimitris Korobilis and Gary Koop
21684: Time-Varying Parameters in Continuous and Discrete Time Downloads
Marcus Chambers and AM Robert Taylor
21470: Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts Downloads
Sam Astill and AM Robert Taylor
21329: Forecasting with High-Dimensional Panel VARs Downloads
Gary Koop and Dimitris Korobilis
21268: Competition and Risk-Taking in Investment banking Downloads
Degl’Innocenti, M, Franco Fiordelisi, Claudia Girardone and N Radić
21162: Testing for Parameter Instability in Predictive Regression Models Downloads
I Georgiev, Di Harvey, Stephen Leybourne and Am Taylor
21006: A Bootstrap Stationarity Test for Predictive Regression Invalidity Downloads
I Georgiev, Di Harvey, Stephen Leybourne and Amr Taylor
20937: Measuring Dynamic Connectedness with Large Bayesian VAR Models Downloads
Dimitris Korobilis and Kamil Yilmaz
20781: Exchange rate predictability and dynamic Bayesian learning Downloads
Joscha Beckmann, Gary Koop, Dimitris Korobilis and R Schüssler
20571: Monetary Policy and Corporate Bond Returns Downloads
Alexandros Kontonikas, P Maio and Zivile Zekaite
20329: Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem Downloads
D Harris, H Kew and Am Taylor
20328: A UK financial conditions index using targeted data reduction: forecasting and structural identification Downloads
G Kapetanios, Sg Price and Garry Young
19565: Forecasting with many predictors using message passing algorithms Downloads
Dimitris Korobilis
19480: Bank capital and profitability:Evidence from a global sample Downloads
Paolo Coccorese and Claudia Girardone
18832: Unit Root Tests and Heavy-Tailed Innovations Downloads
I Georgiev, Paulo Rodrigues and Robert Taylor
18626: Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions Downloads
Dimitris Korobilis and Davide Pettenuzzo
18195: Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty Downloads
Joseph Byrne, Shuo Cao and Dimitris Korobilis
18194: Decomposing Global Yield Curve Co-Movement Downloads
Joseph Byrne, Shuo Cao and Dimitris Korobilis
17454: Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order Downloads
Giuseppe Cavaliere, Luca De Angelis, A Rahbek and Robert Taylor
16807: Semi-Parametric Seasonal Unit Root Tests Downloads
Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor
16588: Governance, efficiency and risk taking in Chinese banking Downloads
Y Dong, Claudia Girardone and J Kuo
16511: "What's the Use of Having a Reputation If You Can't Ruin It Every Now and Then?" Regulatory Enforcement Actions on Banks and the Structure of Loan Syndicates Downloads
Manthos Delis, M Iosifidi, Sotirios Kokas, Steven Ongena and Dimitrios Xefteris
16024: Public-Private Partnerships as Collaborative Projects: testing the theory on cases from EU and Russia Downloads
Dmitri Vinogradov and E Shadrina
15847: Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point Downloads
D Harris, Stephen Leybourne and Robert Taylor
15772: Learning or Leaning: Persistent and Transitory Spillovers from FDI Downloads
Rb Davies, Michael Lamla and M Schiffbauer
15627: Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies Downloads
Udichibarna Bose, Ronald MacDonald and Serafeim Tsoukas
15626: Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics Downloads
Chiara Banti
15373: Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures Downloads
Stuart Snaith, Neil Kellard and N Ahmad
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