Essex Finance Centre Working Papers

From University of Essex, Essex Business School
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22665: Variational Bayes inference in high-dimensional time-varying parameter models

Dimitris Korobilis and Gary Koop

21684: Time-Varying Parameters in Continuous and Discrete Time

Marcus Chambers and AM Robert Taylor

21470: Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts

Sam Astill and AM Robert Taylor

21329: Forecasting with High-Dimensional Panel VARs

Gary Koop and Dimitris Korobilis

21268: Competition and Risk-Taking in Investment banking

Degl’Innocenti, M, Franco Fiordelisi, Claudia Girardone and N Radić

21162: Testing for Parameter Instability in Predictive Regression Models

I Georgiev, Di Harvey, Stephen Leybourne and Am Taylor

21006: A Bootstrap Stationarity Test for Predictive Regression Invalidity

I Georgiev, Di Harvey, Stephen Leybourne and Amr Taylor

20937: Measuring Dynamic Connectedness with Large Bayesian VAR Models

Dimitris Korobilis and Kamil Yilmaz

20781: Exchange rate predictability and dynamic Bayesian learning

Joscha Beckmann, Gary Koop, Dimitris Korobilis and R Schüssler

20605: Monetary policy and stock valuation: Structural VAR identification and size effects

A Kontonikas and Zivile Zekaite

20571: Monetary Policy and Corporate Bond Returns

A Kontonikas, P Maio and Zivile Zekaite

20428: The Effect of News Shocks and Monetary Policy

Luca Gambetti, Dimitris Korobilis, John Tsoukalas and Francesco Zanetti

20417: "Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects

Antonio Afonso, Michael Arghyrou, Md Gadea and A Kontonikas

20329: Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem

David Harris, Hsein Kew and AM Robert Taylor

20328: A UK financial conditions index using targeted data reduction: forecasting and structural identification

George Kapetanios, Sg Price and Garry Young

19654: Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point

Fabrizio Iacone, Stephen Leybourne and AM Robert Taylor

19565: Forecasting with many predictors using message passing algorithms

Dimitris Korobilis

19480: Bank capital and profitability:Evidence from a global sample

Paolo Coccorese and Claudia Girardone

18832: Unit Root Tests and Heavy-Tailed Innovations

I Georgiev, Paulo Rodrigues and Robert Taylor

18772: Wavelet-based option pricing: An empirical study

Xiaoying Liu and Liya Shen

18626: Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions

Dimitris Korobilis and Davide Pettenuzzo

18195: Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

Joseph Byrne, Shuo Cao and Dimitris Korobilis

18194: Decomposing Global Yield Curve Co-Movement

Joseph Byrne, Shuo Cao and Dimitris Korobilis

17454: Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

Giuseppe Cavaliere, Luca De Angelis, Anders Rahbek and Robert Taylor

16807: Semi-Parametric Seasonal Unit Root Tests

Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor

16588: Governance, efficiency and risk taking in Chinese banking

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

Manthos Delis, Maria Iosifidi, Sotirios Kokas, Steven Ongena and Dimitrios Xefteris

16024: Public-Private Partnerships as Collaborative Projects: testing the theory on cases from EU and Russia

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

D Harris, Stephen Leybourne and Robert Taylor

15772: Learning or Leaning: Persistent and Transitory Spillovers from FDI

Rb Davies, Michael Lamla and M Schiffbauer

15627: Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies

Udichibarna Bose, Ronald MacDonald and Serafeim Tsoukas

15626: Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics

Chiara Banti

15373: Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures

Stuart Snaith, Neil Kellard and N Ahmad