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Mohammad Reza Jahan-Parvar

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mariano Croce & Mohammad R. Jahan-Parvar & Samuel Rosen, 2022. "SONOMA: a Small Open ecoNOmy for MAcrofinance," International Finance Discussion Papers 1349, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Georgios Georgiadis & Gernot J. Müller & Ben Schumann, 2023. "Global Risk and the Dollar," Discussion Papers of DIW Berlin 2057, DIW Berlin, German Institute for Economic Research.

  2. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.

    Cited by:

    1. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    2. Martin Indergand & Gabriela Hrasko, 2021. "Does the market believe in loss-absorbing bank debt?," Working Papers 2021-13, Swiss National Bank.
    3. Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

  3. Daniel O. Beltran & Mohammad R. Jahan-Parvar & Fiona A. Paine, 2021. "Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs," International Finance Discussion Papers 1307, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," University of Göttingen Working Papers in Economics 415, University of Goettingen, Department of Economics.
    2. Harashima, Taiji, 2020. "A Theory of the Credit-to-GDP Gap: Using Credit Gaps to Predict Financial Crises," MPRA Paper 111732, University Library of Munich, Germany.

  4. Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
    • Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.

    Cited by:

    1. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    2. Martin Hodula & Jan Janku & Simona Malovana & Ngoc Anh Ngo, 2024. "Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements," Working Papers 2024/8, Czech National Bank.
    3. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    4. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," NBER Working Papers 26768, National Bureau of Economic Research, Inc.
    5. Cosmas Dery & Apostolos Serletis, 2021. "Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1029-1065, October.
    6. d'Artis Kancs, 2024. "Uncertainty of Supply Chains: Risk and Ambiguity," EERI Research Paper Series EERI RP 2024/03, Economics and Econometrics Research Institute (EERI), Brussels.
    7. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    8. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    9. Baxa, Jaromir & Buliskeria, Nino & Elminejad, Ali & Havranek, Tomas & Havrankova, Zuzana & Kundu, Suranjana, 2023. "A comment on Bauer, Lakdawala, Mueller: Market-Based Monetary Policy Uncertainty (2022)," I4R Discussion Paper Series 77, The Institute for Replication (I4R).
    10. David Iselin & Andreas Dibiasi, 2019. "Measuring Knightian Uncertainty," KOF Working papers 19-456, KOF Swiss Economic Institute, ETH Zurich.
    11. Taniya Ghosh & Yadavindu Ajit, 2023. "Central bank transparency, the role of institutions and inflation persistence," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-012, Indira Gandhi Institute of Development Research, Mumbai, India.
    12. Ferreira, Thiago R.T., 2024. "Cross-sectional financial conditions, business cycles and the lending channel," Journal of Monetary Economics, Elsevier, vol. 147(C).
    13. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    14. Mehmet Huseyin Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2020. "Economic uncertainty and bank stability: Conventional vs. Islamic banking," Working Papers hal-02964579, HAL.
    15. Ruediger Bachmann & Kai Carstensen & Stefan Lautenbacher & Martin Schneider, 2021. "Uncertainty and Change: Survey Evidence of Firms' Subjective Beliefs," NBER Working Papers 29430, National Bureau of Economic Research, Inc.
    16. Lautenbacher, Stefan, 2020. "Subjective Uncertainty, Expectations, and Firm Behavior," MPRA Paper 103516, University Library of Munich, Germany.
    17. Takeshi Shinohara & Tatsushi Okuda & Jouchi Nakajima, 2020. "Characteristics of Uncertainty Indices in the Macroeconomy," Bank of Japan Working Paper Series 20-E-6, Bank of Japan.
    18. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    19. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.
    20. Haining Chen & Prince Asare Vitenu-Sackey & Isaac Akpemah Bathuure, 2024. "Uncertainty Measures and Business Cycles: Evidence From the US," SAGE Open, , vol. 14(2), pages 21582440241, April.
    21. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    22. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    23. Juan M. Londono & Sai Ma & Beth Anne Wilson, 2021. "The Global Transmission of Real Economic Uncertainty," International Finance Discussion Papers 1317, Board of Governors of the Federal Reserve System (U.S.).
    24. Jahanbani, Zeinab & Ataee-pour, Majid & Mortazavi, Ali, 2024. "Application of Z-numbers theory to study the influencing criteria in underground mining method selection," Resources Policy, Elsevier, vol. 88(C).
    25. Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).

  5. Mohammad Jahan-Parvar & Filip Zikes, 2019. "When do low-frequency measures really measure transaction costs?," Finance and Economics Discussion Series 2019-051, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.

  6. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018. "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers 1221, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Chiaki Hara, 2023. "Arrow-Pratt-Type Measure of Ambiguity Aversion," KIER Working Papers 1097, Kyoto University, Institute of Economic Research.
    2. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    3. Jin, Yurong & Yan, Jingzhou & Yan, Qianhui, 2024. "Unraveling ESG Ambiguity, Price Reaction, and Trading Volume," Finance Research Letters, Elsevier, vol. 61(C).
    4. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    5. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    6. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    7. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    8. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    9. Makarov, Dmitry, 2021. "Optimal portfolio under ambiguous ambiguity," Finance Research Letters, Elsevier, vol. 43(C).
    10. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
    11. Yang, Shuwen & Aretz, Kevin & Liu, Hening & Zhang, Yuzhao, 2022. "Consumption risks in option returns," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 285-302.
    12. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    13. Patrick Schmidt, 2019. "Eliciting ambiguity with mixing bets," Papers 1902.07447, arXiv.org, revised Aug 2024.
    14. Chiaki Hara & Toshiki Honda, 2022. "Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors," Management Science, INFORMS, vol. 68(6), pages 4246-4260, June.
    15. Liu, Liu, 2022. "Learning about the persistence of recessions under ambiguity aversion," Finance Research Letters, Elsevier, vol. 47(PA).
    16. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.

  7. Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers 1235, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Patric H. Hendershott & Kyung-Hwan Kim & Jin Man Lee & James D. Shilling, 2021. "Announcement Effects: Taxation of Housing Capital Gains in Seoul," The Journal of Real Estate Finance and Economics, Springer, vol. 62(3), pages 319-341, April.
    2. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    3. Shehu U.R. Aliyu, 2019. "Do Presidential Elections Affect Stock Market Returns In Nigeria?," West African Journal of Monetary and Economic Integration, West African Monetary Institute, vol. 19(1), pages 40-56, June.
    4. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
    5. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
    6. Clifford Paul Hallwood, 2021. "Correcting US payments imbalances: Taxing foreign holders of its treasury securities is better than import tariffs," The World Economy, Wiley Blackwell, vol. 44(8), pages 2228-2237, August.

  8. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2020. "Global effects of US uncertainty: real and financial shocks on real and financial markets," IREA Working Papers 202015, University of Barcelona, Research Institute of Applied Economics, revised Oct 2020.
    2. David Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent H. Meyer & Nicholas Parker, 2019. "Surveying Business Uncertainty," NBER Working Papers 25956, National Bureau of Economic Research, Inc.
    3. Oguzhan Ozcelebi & José A. Pérez‐Montiel, 2023. "Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1157-1180, October.
    4. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    5. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    6. Ines Buono & Flavia Corneli & Enrica Di Stefano, 2024. "Capital inflows to emerging countries and their sensitivity to the global financial cycle," International Finance, Wiley Blackwell, vol. 27(1), pages 17-34, April.
    7. Nathan Converse & Enrico Mallucci, 2019. "Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios," International Finance Discussion Papers 1261, Board of Governors of the Federal Reserve System (U.S.).
    8. Canales, Mario & Lopez-Martin, Bernabe, 2024. "Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata," Economic Modelling, Elsevier, vol. 139(C).
    9. Donadelli, Michael & Lalanne, Marie, 2020. "Sex and “the City”: Financial stress and online pornography consumption," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    10. Laura Nowzohour & Livio Stracca, 2020. "More Than A Feeling: Confidence, Uncertainty, And Macroeconomic Fluctuations," Journal of Economic Surveys, Wiley Blackwell, vol. 34(4), pages 691-726, September.
    11. Mario Canales & Bernabe Lopez-Martin, 2021. "Uncertainty, Risk, and Price-Setting: Evidence from CPI Microdata," Working Papers Central Bank of Chile 908, Central Bank of Chile.
    12. Giuseppe Fiori & Filippo Scoccianti, 2021. "The Economic Effects of Firm-Level Uncertainty: Evidence Using Subjective Expectations," International Finance Discussion Papers 1320, Board of Governors of the Federal Reserve System (U.S.).
    13. Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
    14. Roman Grynberg & Teresa Kaulihowa & Fwasa K Singogo, 2019. "Structural Changes of the 21st Century and their Impact on the Gold Price," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 72-83.
    15. Goodell, John W. & Goyal, Abhinav & Urquhart, Andrew, 2021. "Uncertainty of uncertainty and firm cash holdings," Journal of Financial Stability, Elsevier, vol. 56(C).

  9. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
    2. Ikhlaas Gurrib, 2018. "Can an Energy Futures Index Predict US Stock Market Index Movements?," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 230-240.

  10. Luca Guerrieri & Matteo Iacoviello & Francisco Covas & John C. Driscoll & Mohammad Jahan-Parvar & Michael Kiley & Albert Queraltoy & Jae Sim, 2015. "Macroeconomic Effects of Banking Sector Losses across Structural Models," BIS Working Papers 507, Bank for International Settlements.

    Cited by:

    1. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2019. "Costly Default And Asymmetric Real Business Cycles," LIDAM Discussion Papers IRES 2019018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," Globalization Institute Working Papers 340, Federal Reserve Bank of Dallas.
    3. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, September.
    4. Ambrocio, Gene & Hasan, Iftekhar & Jokivuolle, Esa & Ristolainen, Kim, 2020. "Are bank capital requirements optimally set? Evidence from researchers' views," Bank of Finland Research Discussion Papers 10/2020, Bank of Finland.
    5. Gete, Pedro, 2018. "Lending standards and macroeconomic dynamics," Working Paper Series 2207, European Central Bank.
    6. David Aikman & Jonathan Bridges & Anil Kashyap & Caspar Siegert, 2019. "Would Macroprudential Regulation Have Prevented the Last Crisis?," Journal of Economic Perspectives, American Economic Association, vol. 33(1), pages 107-130, Winter.
    7. Hamed Ghiaie, 2017. "Credit Crunch On Financial Intermediary," THEMA Working Papers 2017-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    8. Júlio, Paulo & Maria, José R., 2024. "The magnifying role of the banking sector during depressions," Journal of Macroeconomics, Elsevier, vol. 79(C).
    9. Wieland, V. & Afanasyeva, E. & Kuete, M. & Yoo, J., 2016. "New Methods for Macro-Financial Model Comparison and Policy Analysis," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1241-1319, Elsevier.
    10. Gulan, Adam & Jokivuolle, Esa & Verona, Fabio, 2022. "Optimal bank capital requirements: What do the macroeconomic models say?," BoF Economics Review 2/2022, Bank of Finland.
    11. Darracq Pariès, Matthieu & Jacquinot, Pascal & Papadopoulou, Niki, 2016. "Parsing financial fragmentation in the euro area: a multi-country DSGE perspective," Working Paper Series 1891, European Central Bank.
    12. Hirschbühl, Dominik & Krustev, Georgi & Stoevsky, Grigor, 2020. "Financial drivers of the euro area business cycle: a DSGE-based approach," Working Paper Series 2475, European Central Bank.
    13. Aikman, David & Bluwstein, Kristina & Karmakar, Sudipto, 2021. "A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk," Bank of England working papers 931, Bank of England.
    14. Matthieu Darracq Paries & Pascal Jacquinot & Niki Papadopoulou, 2016. "Parsing Financial Frictions Underlying Bank Lending Fragmentation during the Euro Area Crisis," Working Papers 2016-7, Central Bank of Cyprus.
    15. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2021. "Costly default and skewed business cycle," Post-Print hal-03346173, HAL.
    16. Yoo, Jinhyuk, 2017. "Capital injection to banks versus debt relief to households," IMFS Working Paper Series 111, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    17. Jhuvesh Sobrun & Philip Turner, 2015. "Bond markets and monetary policy dilemmas for the emerging markets," BIS Working Papers 508, Bank for International Settlements.
    18. Meeks, Roland, 2017. "Capital regulation and the macroeconomy: Empirical evidence and macroprudential policy," European Economic Review, Elsevier, vol. 95(C), pages 125-141.
    19. Matthieu Darracq Paries & Peter Karadi & Christoffer Kok & Kalin Nikolov, 2022. "The Impact of Capital Requirements on the Macroeconomy: Lessons from Four Macroeconomic Models of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-50, December.

  11. Sirio Aramonte & Mohammad Jahan-Parvar & Justin Shugarman, 2015. "Institutions and return predictability in oil-exporting countries," Finance and Economics Discussion Series 2015-14, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Md Lutfur Rahman & Mahbub Khan & Samuel A. Vigne & Gazi Salah Uddin, 2021. "Equity return predictability, its determinants, and profitable trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 162-186, January.
    2. Kassouri, Yacouba & Altıntaş, Halil & Bilgili, Faik, 2020. "An investigation of the financial resource curse hypothesis in oil-exporting countries: The threshold effect of democratic accountability," Journal of Multinational Financial Management, Elsevier, vol. 56(C).

  12. Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.

    Cited by:

    1. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
    2. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    3. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
    4. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
    6. Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
    7. Linyu Wang & Yifan Ji & Zhongxin Ni, 2024. "Which implied volatilities contain more information? Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1896-1919, April.
    8. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
    9. Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
    10. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    11. Roh, Tai-Yong & Byun, Suk Joon & Xu, Yahua, 2020. "Downside uncertainty shocks in the oil and gold markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 291-307.
    12. Huang, Tao & Jiang, Liang & Li, Junye, 2023. "Downside variance premium, firm fundamentals, and expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 154(C).
    13. Sarac, Burak, 2021. "Varianzrisikoprämien auf deutsche Staatsanleihen [Variance Risk Premiums on German Government Bonds]," Junior Management Science (JUMS), Junior Management Science e. V., vol. 6(2), pages 370-392.
    14. Nicolas Himounet, 2021. "Searching for the Nature of Uncertainty: Macroeconomic VS Financial," Working Papers 2021.05, International Network for Economic Research - INFER.
    15. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    16. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    17. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    18. Su, Zhi & Mo, Xuan & Yin, Libo, 2021. "Oil market uncertainty and excess returns on currency carry trade," Research in International Business and Finance, Elsevier, vol. 56(C).
    19. David Zeke, 2017. "Financial Frictions, Volatility, and Skewness," 2017 Meeting Papers 1421, Society for Economic Dynamics.
    20. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    21. José Da Fonseca & Edem Dawui, 2021. "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 290-324, March.
    22. Georges Dionne & Jingyuan Li & Cédric Okou, 2024. "An alternative representation of the C-CAPM with higher-order risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 194-233, September.
    23. Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
    24. Libo Yin & Jing Nie & Liyan Han, 2021. "Intermediary capital risk and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 577-640, May.
    25. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
    26. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
    27. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
    28. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    29. Aşty Al-Jaaf, 2022. "Dividend predictability and higher moment risk premia," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 83-99, March.
    30. Du, Shaofu & Chen, Yuan & Peng, Jing & Nie, Tengfei, 2022. "Incorporating risk fairness concerns into wine futures under quality uncertainty," Omega, Elsevier, vol. 113(C).
    31. Xu Gong & Boqiang Lin, 2021. "Effects of structural changes on the prediction of downside volatility in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1124-1153, July.
    32. Ha, Kyoungnam Catherine & Song, Reo & Erickson, Gary, 2021. "Multidimensional brand equity and asymmetric risk," International Journal of Research in Marketing, Elsevier, vol. 38(3), pages 593-614.
    33. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    34. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
    35. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Fear or greed? What does a skewness index measure?," Department of Economics 0102, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    36. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    37. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021. "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4410-4423, July.
    38. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2016. "Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies," ADBI Working Papers 590, Asian Development Bank Institute.
    39. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    40. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    41. Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
    42. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
    43. Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
    44. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
    45. Yin, Libo & Wang, Yang, 2019. "Forecasting the oil prices: What is the role of skewness risk?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    46. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
    47. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
    48. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).
    49. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).

  13. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    2. Chen, Heng & Li, Xu & Pei, Guangyu & Xin, Qian, 2024. "Heterogeneous overreaction in expectation formation: Evidence and theory," Journal of Economic Theory, Elsevier, vol. 218(C).
    3. Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
    4. Katsutoshi Wakai, 2018. "A Factor Pricing Model under Ambiguity," Discussion papers e-17-012, Graduate School of Economics , Kyoto University.

  14. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Staff Working Papers 13-32, Bank of Canada.

    Cited by:

    1. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
    2. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    3. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    4. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    5. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    6. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
    7. Papantonis Ioannis & Rompolis Leonidas S. & Tzavalis Elias & Agapitos Orestis, 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
    8. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    9. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    10. Huang, Tao & Li, Junye, 2019. "Option-Implied variance asymmetry and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 21-36.
    11. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
    12. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
    13. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    14. Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
    15. Dai, Yiming & Jiang, Yuexiang & Long, Huaigang & Wang, Hui & Zaremba, Adam, 2023. "Does realized skewness predict the cross-section of Chinese stock returns?," Finance Research Letters, Elsevier, vol. 58(PB).
    16. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    17. Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
    18. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    19. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.
    20. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    21. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

  15. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper 15670, University Library of Munich, Germany.

    Cited by:

    1. Akbulaev, Nurkhodzha & Aliyeva, Basti & Rzayeva, Shehla, 2021. "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(1), pages 151-166.
    2. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    3. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
    4. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
    5. Magnus Abeng, 2016. "Analysis of the Effect of Oil Price Shock on Industry Stock Returns in Nigeria," EcoMod2016 9285, EcoMod.
    6. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    7. Zhang, Chuanguo & Chen, Xiaoqing, 2014. "The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries," Energy Policy, Elsevier, vol. 66(C), pages 32-41.
    8. Isah Wada, 2019. "Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(71), pages 17-28, March.
    9. Saleh Mothana Obadi & Matej Korcek, 2015. "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 422-432.
    10. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
    11. Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
    12. Rehman, Mobeen Ur & Zeitun, Rami & Mardani, Abbas & Vo, Xuan Vinh & Eraslan, Veysel, 2022. "Asymmetric pass through of energy commodities to US sectoral returns," Resources Policy, Elsevier, vol. 76(C).
    13. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
    14. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Oil price and stock returns of consumers and producers of crude oil," Working Papers fe_2015_12, Deakin University, Department of Economics.
    15. Bing Xu, 2015. "Oil prices and UK industry-level stock returns," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2608-2627, May.
    16. Sirio Aramonte & Mohammad Jahan-Parvar & Justin Shugarman, 2015. "Institutions and return predictability in oil-exporting countries," Finance and Economics Discussion Series 2015-14, Board of Governors of the Federal Reserve System (U.S.).
    17. Yu, Honghai & Du, Donglei & Fang, Libing & Yan, Panpan, 2018. "Risk contribution of crude oil to industry stock returns," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 179-199.
    18. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
    19. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises," MPRA Paper 59727, University Library of Munich, Germany.
    20. Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
    21. Rafiqul Bhuyan & Mohammad Robbani & Bakhtear Talukder, 2021. "Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 149-165.
    22. Ma, Binfeng & Wang, Xiaofang, 2023. "How does green floating bond and financial sector readiness promote green economic growth evidence from China," Resources Policy, Elsevier, vol. 85(PB).
    23. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    24. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
    25. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    26. Salisu, Afees A. & Oloko, Tirimisiyu F., 2015. "Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 1-12.
    27. Tsai, Chun-Li, 2015. "How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?," Energy Economics, Elsevier, vol. 50(C), pages 47-62.
    28. Suleman Sarwar & Rida Waheed & Mehnoor Amir & Muqaddas Khalid, 2018. "Role of Energy on Economy The Case of Micro to Macro Level Analysis," Economics Bulletin, AccessEcon, vol. 38(4), pages 1905-1926.
    29. Valcarcel, Victor J. & Vivian, Andrew J. & Wohar, Mark E., 2017. "Predictability and underreaction in industry-level returns: Evidence from commodity markets," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 1-15.
    30. Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017. "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 129-141.
    31. Husain, Shaiara & Tiwari, Aviral Kumar & Sohag, Kazi & Shahbaz, Muhammad, 2019. "Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA," Resources Policy, Elsevier, vol. 62(C), pages 57-65.

  16. Jahan-Parvar, Mohammad R. & Liu, Xuan & Rothman, Philip, 2009. "Equity Returns and Business Cycles in Small Open Economies," MPRA Paper 15915, University Library of Munich, Germany.

    Cited by:

    1. Richard E. Ericson & Xuan Liu, 2012. "Welfare effect of interest rate shocks and policy implications," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1899-1917, November.
    2. Rahul Nath, 2018. "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers 851, University of Oxford, Department of Economics.
    3. Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2022. "Technology trade with asymmetric tax regimes and heterogeneous labour markets: Implications for macro quantities and asset prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3805-3831, October.
    4. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2015. "Matching the BRIC equity premium: A structural approach," Emerging Markets Review, Elsevier, vol. 22(C), pages 65-75.
    5. Min Bai & Samir Harith, 2023. "Measuring SMEs Risk – Evidence from Malaysia," SN Business & Economics, Springer, vol. 3(7), pages 1-32, July.
    6. Liu, Xuan, 2007. "Trade Openness and the Cost of Sudden Stops: The Role of Financial Friction," MPRA Paper 18260, University Library of Munich, Germany, revised 26 Oct 2009.
    7. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
    8. Zhongyuan Geng & Xuan Liu, 2019. "Optimal input trade policy under economic uncertainties in a small open economy," Applied Economics, Taylor & Francis Journals, vol. 51(20), pages 2155-2171, April.
    9. Horvath, Jaroslav, 2018. "Business cycles, informal economy, and interest rates in emerging countries," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 96-116.

  17. Jahan-Parvar, Mohammad & Waters, George, 2009. "Equity Price Bubbles in the Middle Eastern and North African Financial Markets," MPRA Paper 17859, University Library of Munich, Germany.

    Cited by:

    1. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Hearn, Bruce & Piesse, Jenifer & Strange, Roger, 2011. "The role of the stock market in the provision of Islamic development finance: Evidence from Sudan," Emerging Markets Review, Elsevier, vol. 12(4), pages 338-353.
    3. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    4. KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
    5. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
    6. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    7. Ye, Yonggang & Chang, Tsangyao & Hung, Ken & Lu, Yang-Cheng, 2011. "Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(2), pages 346-357.
    8. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    9. Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016. "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(4), pages 646-660, September.
    10. Ullah, Irfan & Ahmed, Mumtaz, 2021. "Identifying Phases of Ebullience in EFTA Stock Markets," MPRA Paper 109633, University Library of Munich, Germany.
    11. Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
    12. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  18. Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2009. "An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa," MPRA Paper 13437, University Library of Munich, Germany.

    Cited by:

    1. Abid, Fathi & Bahloul, Slah & Mroua, Mourad, 2016. "Financial development and economic growth in MENA countries," Journal of Policy Modeling, Elsevier, vol. 38(6), pages 1099-1117.
    2. Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
    3. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    4. Yousef, Mona & Masih, Mansur, 2017. "Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approach," MPRA Paper 100986, University Library of Munich, Germany.
    5. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
    6. Salahuddin, Sultan & Kashif, Muhammad & Rehman, Mobeen Ur, 2020. "Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets," Public Finance Quarterly, Corvinus University of Budapest, vol. 65(2), pages 168-195.
    7. Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
    8. Ben Slimane, Faten & Boubaker, Sabri & Jouini, Jamel, 2020. "Does the Euro–Mediterranean Partnership contribute to regional integration?," Journal of Policy Modeling, Elsevier, vol. 42(2), pages 328-348.
    9. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
    10. Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
    11. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 1-12.
    12. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
    13. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
    14. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    15. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015. "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, vol. 24(C), pages 1-24.
    16. Wajih Khallouli & Modibo René Sandretto, 2010. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers 1022, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    17. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    18. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
    19. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    20. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    21. Jouini, Jamel, 2015. "New empirical evidence from assessing financial market integration, with application to Saudi Arabia," Economic Modelling, Elsevier, vol. 49(C), pages 198-211.
    22. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
    23. Gautam Milind Gokhale & Ankur Mittal, 2024. "Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 65-76, March.
    24. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
    25. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper 54470, University Library of Munich, Germany, revised 2012.
    26. Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
    27. Bley, Jorg & Saad, Mohsen, 2012. "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 538-554.
    28. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    29. Md Gyasuddin Ansari & Rudra Sensarma, 2019. "US Monetary Policy, Oil and Gold Prices: Which has a greater impact on BRICS Stock Markets?," Working papers 343, Indian Institute of Management Kozhikode.
    30. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
    31. Berk, Ales S. & Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2017. "Psychological price barriers in frontier equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 1-14.
    32. Alsubaiei, Bader Jawid & Calice, Giovanni & Vivian, Andrew, 2024. "How does oil market volatility impact mutual fund performance?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1601-1621.
    33. Al-Mohamed, Somar & Elkanj, Nasser & Gangopadhyay, Partha, 2018. "Time-Varying Integration of MENA Stock Markets," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 8(2), pages 85-114.
    34. Demirer, Riza, 2013. "Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets," Research in International Business and Finance, Elsevier, vol. 29(C), pages 77-98.
    35. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach, 2017. "Momentum strategies for Islamic stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 96-112.
    36. Berger, Dave & Pukthuanthong, Kuntara & Jimmy Yang, J., 2011. "International diversification with frontier markets," Journal of Financial Economics, Elsevier, vol. 101(1), pages 227-242, July.
    37. Bruce Hearn & Jenifer Piesse, 2015. "The Impact of Firm Size and Liquidity on the Cost of External Finance in Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 1-22, March.
    38. Mohamed Ahmed Shaker & Khairy Elgiziry, 2014. "Comparisons of Asset Pricing Models in the Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 3(4), pages 1-24, August.
    39. Hearn, Bruce & Li, Jing & Mykhayliv, Dariya & Waqas, Muhammad, 2021. "Asset pricing in the Middle East’s equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

  19. Landry, Craig E. & Jahan-Parvar, Mohammad R., 2008. "Flood Insurance Coverage in the Coastal Zone," MPRA Paper 15498, University Library of Munich, Germany.

    Cited by:

    1. Dionne, Georges & Desjardins, Denise, 2022. "A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses," Working Papers 22-2, HEC Montreal, Canada Research Chair in Risk Management.
    2. Keiko Fukumori & Ayumi Arai & Tomoya Matsumoto, 2022. "Risk Management for Smallholder Farmers: An Empirical Study on the Adoption of Weather-Index Crop Insurance in Rural Kenya," Working Papers 230, JICA Research Institute.
    3. Andor, Mark & Osberghaus, Daniel & Simora, Michael, 2017. "Natural disasters and governmental aid: Is there a charity hazard?," Ruhr Economic Papers 738, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Douglas S. Noonan & Xian Liu, 2019. "Heading for the Hills? Effects of Community Flood Management on Local Adaptation to Flood Risks," Southern Economic Journal, John Wiley & Sons, vol. 86(2), pages 800-822, October.
    5. Craig Landry & Dylan Turner, 2020. "Risk Perceptions and Flood Insurance: Insights from Homeowners on the Georgia Coast," Sustainability, MDPI, vol. 12(24), pages 1-22, December.
    6. Céline Grislain-Letrémy, 2018. "Natural Disasters: Exposure and Underinsurance," Annals of Economics and Statistics, GENES, issue 129, pages 53-83.
    7. Achtnicht, Martin & Osberghaus, Daniel, 2016. "The demand for index-based flood insurance in a high-income country," ZEW Discussion Papers 16-051, ZEW - Leibniz Centre for European Economic Research.
    8. Diana Mitsova & Monica Escaleras & Alka Sapat & Ann-Margaret Esnard & Alberto J. Lamadrid, 2019. "The Effects of Infrastructure Service Disruptions and Socio-Economic Vulnerability on Hurricane Recovery," Sustainability, MDPI, vol. 11(2), pages 1-16, January.
    9. Livy, Mitchell R., 2023. "Assessing the housing price capitalization of non-destructive flooding events," Research in Economics, Elsevier, vol. 77(2), pages 265-274.
    10. Douglas S. Noonan & Abdul‐Akeem A. Sadiq, 2018. "Flood Risk Management: Exploring the Impacts of the Community Rating System Program on Poverty and Income Inequality," Risk Analysis, John Wiley & Sons, vol. 38(3), pages 489-503, March.
    11. Tsvetanov, Tsvetan & Shah, Farhed, 2013. "The Economic Value of Delaying Adaptation to Sea-Level Rise: An Application to Coastal Properties in Connecticut," Working Paper series 148343, University of Connecticut, Charles J. Zwick Center for Food and Resource Policy.
    12. Jacqueline Volkman-Wise, 2015. "Representativeness and managing catastrophe risk," Journal of Risk and Uncertainty, Springer, vol. 51(3), pages 267-290, December.
    13. Kousky, Carolyn & Michel-Kerjan, Erwann O. & Raschky, Paul A., 2018. "Does federal disaster assistance crowd out flood insurance?," Journal of Environmental Economics and Management, Elsevier, vol. 87(C), pages 150-164.
    14. Carolyn Kousky & Noelwah R. Netusil, 2023. "Flood insurance literacy and flood risk knowledge: Evidence from Portland, Oregon," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 26(2), pages 175-201, July.
    15. Ling Tian & Peng Yao, 2015. "Preferences for earthquake insurance in rural China: factors influencing individuals’ willingness to pay," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 79(1), pages 93-110, October.
    16. Grislain-Letrémy, Céline, 2012. "Assurance et prévention des catastrophes naturelles et technologiques," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9073 edited by Villeneuve, Bertrand.
    17. Mark Browne & Christian Knoller & Andreas Richter, 2015. "Behavioral bias and the demand for bicycle and flood insurance," Journal of Risk and Uncertainty, Springer, vol. 50(2), pages 141-160, April.
    18. Carolyn Kousky, 2017. "Disasters as Learning Experiences or Disasters as Policy Opportunities? Examining Flood Insurance Purchases after Hurricanes," Risk Analysis, John Wiley & Sons, vol. 37(3), pages 517-530, March.
    19. Meri Davlasheridze & Qing Miao, 2021. "Does post-disaster aid promote community resilience? Evidence from federal disaster programs," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 109(1), pages 63-88, October.
    20. Mona Ahmadiani & Susana Ferreira & Craig E. Landry, 2019. "Flood Insurance and Risk Reduction: Market Penetration, Coverage, and Mitigation in Coastal North Carolina," Southern Economic Journal, John Wiley & Sons, vol. 85(4), pages 1058-1082, April.
    21. Atreya, Ajita & Ferreira, Susana & Michel-Kerjan, Erwann, 2015. "What drives households to buy flood insurance? New evidence from Georgia," Ecological Economics, Elsevier, vol. 117(C), pages 153-161.
    22. Carolyn Kousky & Erwann Michel-Kerjan, 2017. "Examining Flood Insurance Claims in the United States: Six Key Findings," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 819-850, September.
    23. Meri Davlasheridze & Qing Miao, 2019. "Does Governmental Assistance Affect Private Decisions to Insure? An Empirical Analysis of Flood Insurance Purchases," Land Economics, University of Wisconsin Press, vol. 95(1), pages 124-145.
    24. Terry Dinan & Perry Beider & David Wylie, 2019. "The National Flood Insurance Program: Is It Financially Sound?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 15-38, March.
    25. Benjamin L. Collier & Daniel Schwartz & Howard C. Kunreuther & Erwann O. Michel‐Kerjan, 2022. "Insuring large stakes: A normative and descriptive analysis of households' flood insurance coverage," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 273-310, June.
    26. Benjamin L. Collier & Marc A. Ragin, 2020. "The Influence of Sellers on Contract Choice: Evidence from Flood Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 523-557, June.
    27. Frimpong, Eugene & Petrolia, Daniel & Harri, Ardian, 2017. "Community-level flood mitigation effects on household-level flood insurance and damage claims payments," Working Papers 254075, Mississippi State University, Department of Agricultural Economics.
    28. Craig E. Landry & Dylan Turner & Daniel Petrolia, 2021. "Flood Insurance Market Penetration and Expectations of Disaster Assistance," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 79(2), pages 357-386, June.
    29. Abdul-Akeem Sadiq & Douglas Noonan, 2015. "Local capacity and resilience to flooding: community responsiveness to the community ratings system program incentives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 78(2), pages 1413-1428, September.
    30. Erwann Michel-Kerjan & Paul Raschky & Howard Kunreuther, 2015. "Corporate Demand for Insurance: New Evidence From the U.S. Terrorism and Property Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(3), pages 505-530, September.
    31. Frimpong, Eugene & Petrolia, Daniel, 2016. "Community-level Flood Mitigation Effects on Household Flood Insurance and Damage Claims," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230129, Southern Agricultural Economics Association.
    32. Thomas Husted & David Nickerson, 2021. "Private Support for Public Disaster Aid," JRFM, MDPI, vol. 14(6), pages 1-19, June.
    33. Zhixia Wu & Xiazhong Zheng & Yijun Chen & Shan Huang & Wenli Hu & Chenfei Duan, 2023. "Urban Flood Loss Assessment and Index Insurance Compensation Estimation by Integrating Remote Sensing and Rainfall Multi-Source Data: A Case Study of the 2021 Henan Rainstorm," Sustainability, MDPI, vol. 15(15), pages 1-18, July.
    34. Bin, Okmyung & Landry, Craig E., 2013. "Changes in implicit flood risk premiums: Empirical evidence from the housing market," Journal of Environmental Economics and Management, Elsevier, vol. 65(3), pages 361-376.
    35. Carolyn Kousky, 2018. "Financing Flood Losses: A Discussion of the National Flood Insurance Program," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 21(1), pages 11-32, March.
    36. Bradt, Jacob T. & Kousky, Carolyn & Wing, Oliver E.J., 2021. "Voluntary purchases and adverse selection in the market for flood insurance," Journal of Environmental Economics and Management, Elsevier, vol. 110(C).
    37. Dong Wang & Rachel A. Davidson & Joseph E. Trainor & Linda K. Nozick & Jamie Kruse, 2017. "Homeowner purchase of insurance for hurricane-induced wind and flood damage," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(1), pages 221-245, August.
    38. Richard J. Butler, 2021. "Information access and homeowners insurance purchases," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 649-663, October.
    39. Amorim, Guilherme & Lima, Rafael Costa & Sampaio, Breno, 2022. "Broadband internet and protests: Evidence from the Occupy movement," Information Economics and Policy, Elsevier, vol. 60(C).

  20. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2008. "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," MPRA Paper 13435, University Library of Munich, Germany.

    Cited by:

    1. Arsham Reisinezhad, 2020. "Does income inequality feed the Dutch disease?," Working Papers halshs-03012653, HAL.
    2. Barczikay, Tamás & Biedermann, Zsuzsánna & Szalai, László, 2020. "An investigation of a partial Dutch disease in Botswana," Resources Policy, Elsevier, vol. 67(C).
    3. Zhao, Yinglan & Feng, Chen & Xu, Nuo & Peng, Song & Liu, Chang, 2023. "Early warning of exchange rate risk based on structural shocks in international oil prices using the LSTM neural network model," Energy Economics, Elsevier, vol. 126(C).
    4. Nazeer Ahmed & Ma Dingchou & Abdul Qayyum, 2021. "Further Evidence on Asymmetry in the Impact of Oil Price on Exchange Rate and Stock Price in China using Daily Data," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(5), pages 1-83, May.
    5. Sugra Humbatova & Afag Huseyn & Natig Gadim-Oglu Hajiyev, 2023. "Impact of Oil Factor on Investment: The Case of Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 129-148, March.
    6. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    7. Grant Mark Nülle & Graham A. Davis, 2018. "Neither Dutch nor disease?—natural resource booms in theory and empirics," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(1), pages 35-59, May.
    8. Hasanov Fakhri, 2011. "Analyzing price level in a booming economy: the case of Azerbaijan," EERC Working Paper Series 11/02e, EERC Research Network, Russia and CIS.
    9. Benjamin Ighodalo Ehikioya & Alexander Ehimare Omankhanlen & Ayopo Abiola Babajide & Godswill Osagie Osuma & Cordelia Onyinyechi Omodero, 2020. "Oil Price Fluctuations and Exchange Rate in Selected Sub-Saharan Africa countries: A Vector Error Correction Model Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 242-249.
    10. Guglielmo Maria Caporale & Rodrigo Costamagna & Gustavo Rossini, 2016. "Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group," Discussion Papers of DIW Berlin 1581, DIW Berlin, German Institute for Economic Research.
    11. Benedictow, Andreas & Fjærtoft, Daniel & Løfsnæs, Ole, 2013. "Oil dependency of the Russian economy: An econometric analysis," Economic Modelling, Elsevier, vol. 32(C), pages 400-428.
    12. Merve Osmanbeyoglu & Nukhet Dogan & M. Hakan Berument, 2022. "Exchange rate regime, world oil prices and the Mexican economy," International Journal of Economic Policy Studies, Springer, vol. 16(1), pages 159-178, February.
    13. Salah A. Nusair & Khalid M. Kisswani, 2015. "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 1-25, December.
    14. Jean-Pierre Allegret & Mohamed Tahar Benkhodja, 2014. "The Dutch disease effect in a high versus low oil dependent countries," Post-Print hal-01385965, HAL.
    15. Kisswani, Khalid M. & Nusair, Salah A., 2013. "Non-linearities in the dynamics of oil prices," Energy Economics, Elsevier, vol. 36(C), pages 341-353.
    16. Fakhri Hasanov & Jeyhun Mikayilov & Cihan Bulut & Elchin Suleymanov & Fuzuli Aliyev, 2017. "The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters," Economies, MDPI, vol. 5(2), pages 1-18, April.
    17. Hasanov, Fakhri, 2010. "The impact of real oil price on real effective exchange rate: The case of Azerbaijan," MPRA Paper 33493, University Library of Munich, Germany.
    18. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
    19. Alssadek, Marwan & Benhin, James, 2023. "Natural resource curse: A literature survey and comparative assessment of regional groupings of oil-rich countries," Resources Policy, Elsevier, vol. 84(C).
    20. Olagbaju Ifeolu O & Akinbobola Temidayo O, 2016. "A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria," Journal of Economics and Behavioral Studies, AMH International, vol. 8(4), pages 79-91.
    21. Hasanov, Fakhri & Huseynov, Fariz, 2013. "Bank credits and non-oil economic growth: Evidence from Azerbaijan," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 597-610.
    22. Abubakar Lawan Ngoma & Normaz Wana Ismail & Zulkornain Yusop, 2016. "An Analysis of Real Oil Prices and Real Exchange Rates in Five African Countries," Foreign Trade Review, , vol. 51(2), pages 162-179, May.
    23. Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra, 2013. "Is Russia suffering from Dutch Disease? Cointegration with structural break," Resources Policy, Elsevier, vol. 38(4), pages 605-612.
    24. Alssadek, Marwan & Benhin, James, 2021. "Oil boom, exchange rate and sectoral output: An empirical analysis of Dutch disease in oil-rich countries," Resources Policy, Elsevier, vol. 74(C).

Articles

  1. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    See citations under working paper version above.
  2. Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022. "Firm-Specific Risk-Neutral Distributions with Options and CDS," Management Science, INFORMS, vol. 68(9), pages 7018-7033, September.
    See citations under working paper version above.
  3. Ghasseminejad, Saeed & Jahan-Parvar, Mohammad R., 2021. "The impact of financial sanctions: The case of Iran," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 601-621.

    Cited by:

    1. Aflatooni, Abbas & Ghaderi, Kaveh & Mansouri, Kefsan, 2022. "Sanctions against Iran, political connections and speed of adjustment," Emerging Markets Review, Elsevier, vol. 51(PB).
    2. Jamila Abaidi Hasnaoui & Syed Kumail Abbas Rizvi & Krishna Reddy & Nawazish Mirza & Bushra Naqvi, 2021. "Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 360-375, September.
    3. Zaytsev, Yu. & Loshchenkova, A., 2024. "The impact of sanctions on the revenues of Russian companies," Journal of the New Economic Association, New Economic Association, vol. 63(2), pages 57-74.
    4. Sajjad Faraji Dizaji & Mohammad Reza Farzanegan, 2024. "The Impact of US Trade Sanctions on the Global Trade of Target Countries: Do the Political Institutions of the Targets Matter?," CESifo Working Paper Series 10910, CESifo.
    5. Hossein Tarighi & Grzegorz Zimon & Mohammad Javad Sheikh & Mohammad Sayrani, 2024. "The Impact of Firm Risk and the COVID-19 Crisis on Working Capital Management Strategies: Evidence from a Market Affected by Economic Uncertainty," Risks, MDPI, vol. 12(4), pages 1-33, April.
    6. Mohammad Aghapour Sabbaghi & Afsaneh Naeimifar, 2022. "Analysis of import substitution policy with an emphasis on environmental issues based on environmental input–output (EIO) model," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(12), pages 14130-14162, December.
    7. Farzanegan Mohammad Reza & Batmanghelidj Esfandyar, 2023. "Understanding Economic Sanctions on Iran: A Survey," The Economists' Voice, De Gruyter, vol. 20(2), pages 197-226, December.
    8. Iglesias, Emma M., 2022. "The influence of extreme events such as Brexit and Covid-19 on equity markets," Journal of Policy Modeling, Elsevier, vol. 44(2), pages 418-430.
    9. Kamer-Ainur Aivaz & Ionela Florea Munteanu & Mari-Isabella Stan & Alina Chiriac, 2022. "A Multivariate Analysis of the Links between Transport Noncompliance and Financial Uncertainty in Times of COVID-19 Pandemics and War," Sustainability, MDPI, vol. 14(16), pages 1-23, August.

  4. A Ronald Gallant & Mohammad R Jahan-Parvar & Hening Liu, 2019. "Does Smooth Ambiguity Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3617-3666.
    See citations under working paper version above.
  5. Aramonte, Sirio & Jahan-Parvar, Mohammad R. & Shugarman, Justin K., 2019. "Institutions and return predictability in oil-exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 14-26.
    See citations under working paper version above.
  6. Luca Guerrieri & Matteo Iacoviello & Francisco Covas & John C. Driscoll & Mohammad Jahan-Parvar & Michael Kiley & Albert Queralto & Jae Sim, 2019. "Macroeconomic Effects of Banking-Sector Losses across Structural Models," International Journal of Central Banking, International Journal of Central Banking, vol. 15(3), pages 137-204, September.
    See citations under working paper version above.
  7. Blanchard, Olivier & Collins, Christopher G. & Jahan-Parvar, Mohammad R. & Pellet, Thomas & Wilson, Beth Anne, 2018. "A year of rising dangerously? The U.S. stock market performance in the aftermath of the presidential election," Journal of Policy Modeling, Elsevier, vol. 40(3), pages 489-502.

    Cited by:

    1. Gabriel Chodorow-Reich & Matthew Smith & Owen Zidar & Eric Zwick, 2024. "Tax Policy and Investment in a Global Economy," Working Papers 328, Princeton University, Department of Economics, Center for Economic Policy Studies..
    2. Nerger, Gian-Luca & Huynh, Toan Luu Duc & Wang, Mei, 2021. "Which industries benefited from Trump environmental policy news? Evidence from industrial stock market reactions," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Iglesias, Emma M., 2022. "The influence of extreme events such as Brexit and Covid-19 on equity markets," Journal of Policy Modeling, Elsevier, vol. 44(2), pages 418-430.

  8. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    See citations under working paper version above.
  9. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
    See citations under working paper version above.
  10. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.

    Cited by:

    1. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
    2. Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
    3. Liu, Jingzhen, 2019. "Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies," Research in International Business and Finance, Elsevier, vol. 48(C), pages 243-257.
    4. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    5. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    6. Thomas C. Chiang & Yuanqing Zhang, 2018. "An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data," IJFS, MDPI, vol. 6(2), pages 1-22, March.

  11. Mohammad R. Jahan-Parvar & Hening Liu, 2014. "Ambiguity Aversion and Asset Prices in Production Economies," The Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 3060-3097.

    Cited by:

    1. Eliezer Borenstein & David Elkayam, 2013. "The equity premium in a small open economy, and an application to Israel," Bank of Israel Working Papers 2013.03, Bank of Israel.
    2. Asano, Takao & Osaki, Yusuke, 2021. "Optimal investment under ambiguous technology shocks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 304-311.
    3. Chiaki Hara, 2023. "Arrow-Pratt-Type Measure of Ambiguity Aversion," KIER Working Papers 1097, Kyoto University, Institute of Economic Research.
    4. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    5. Fulghieri, Paolo & Dicks, David, 2016. "Innovation Waves, Investor Sentiment, and Mergers," CEPR Discussion Papers 11082, C.E.P.R. Discussion Papers.
    6. Jin, Yurong & Yan, Jingzhou & Yan, Qianhui, 2024. "Unraveling ESG Ambiguity, Price Reaction, and Trading Volume," Finance Research Letters, Elsevier, vol. 61(C).
    7. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    8. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    9. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    10. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    11. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    12. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    13. Chiaki Hara, 2020. "A Ranking over "More Risk Averse Than" Relations and its Application to the Smooth Ambiguity Model," KIER Working Papers 1019, Kyoto University, Institute of Economic Research.
    14. Ayoub, Mahmoud & Qadan, Mahmoud, 2024. "Ambiguity and risk in the oil market," Economic Modelling, Elsevier, vol. 132(C).
    15. Makarov, Dmitry, 2021. "Optimal portfolio under ambiguous ambiguity," Finance Research Letters, Elsevier, vol. 43(C).
    16. Babiak, Mykola & Kozhan, Roman, 2024. "Parameter learning in production economies," Journal of Monetary Economics, Elsevier, vol. 144(C).
    17. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
    18. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    19. Mykola Babiak & Roman Kozhan, 2021. "Growth Uncertainty, Rational Learning, and Option Prices," CERGE-EI Working Papers wp682, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    20. Massimo Marinacci, 2015. "Model Uncertainty," Working Papers 553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Altug, Sumru & Collard, Fabrice & Cakmakli, Cem & Mukerji, Sujoy & Ozsöylev, Han, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," TSE Working Papers 20-1107, Toulouse School of Economics (TSE).
    22. Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
    23. Ruan, Xinfeng, 2021. "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 115-126.
    24. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
    25. Fulghieri, Paolo & Dicks, David, 2015. "Ambiguity, Disagreement, and Allocation of Control in Firms," CEPR Discussion Papers 10400, C.E.P.R. Discussion Papers.
    26. Ruan, Xinfeng & Zhang, Jin E., 2021. "Ambiguity on uncertainty and the equity premium," Finance Research Letters, Elsevier, vol. 38(C).
    27. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    28. Riccardo Rebonato & Riccardo Ronzani & Lionel Melin, 2023. "Robust management of climate risk damages," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-43, September.
    29. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    30. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
    31. Chiaki Hara & Toshiki Honda, 2022. "Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors," Management Science, INFORMS, vol. 68(6), pages 4246-4260, June.
    32. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Online Appendix to "Ambiguous Business Cycles: A Quantitative Assessment"," Online Appendices 19-269, Review of Economic Dynamics.
    33. Ma, Jinrun & Wu, Yaoyao & Liang, Yongtang, 2023. "Robust investment and hedging policy with limited commitment," Economic Modelling, Elsevier, vol. 125(C).
    34. Makarov, Dmitry, 2020. "Optimal portfolio under ambiguous ambiguity," MPRA Paper 108837, University Library of Munich, Germany, revised Dec 2020.
    35. Beltran, Daniel O. & Dalal, Vihar M. & Jahan-Parvar, Mohammad R. & Paine, Fiona A., 2024. "Optimizing composite early warning indicators," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

  12. Mohammad R. Jahan-Parvar & Xuan Liu & Philip Rothman, 2013. "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1117-1146, September.
    See citations under working paper version above.
  13. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2013. "Modeling Market Downside Volatility," Review of Finance, European Finance Association, vol. 17(1), pages 443-481.

    Cited by:

    1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    2. Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
    3. Ali, Heba & Hegazy, Aya Yasser, 2022. "Dividend policy, risk and the cross-section of stock returns: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 169-192.
    4. Jozef Baruník & Evžen Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets," CESifo Working Paper Series 7756, CESifo.
    5. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
    6. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
    7. Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
    8. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
    9. Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
    10. Evžen Kočenda, 2017. "Survey of volatility and spillovers on financial markets," Working Papers 363, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    11. Qu, Fang & Chen, Yufeng & Zheng, Biao, 2021. "Is new energy driven by crude oil, high-tech sector or low-carbon notion? New evidence from high-frequency data," Energy, Elsevier, vol. 230(C).
    12. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017. "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 39-56.
    13. Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
    14. Frans de Roon & Paul Karehnke, 2017. "Addendum: A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2401-2401.
    15. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    16. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    17. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
    18. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
    19. Su, Zhi & Mo, Xuan & Yin, Libo, 2021. "Oil market uncertainty and excess returns on currency carry trade," Research in International Business and Finance, Elsevier, vol. 56(C).
    20. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    21. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers 2016-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
    23. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    24. Wang, Zijun & Khan, M. Moosa, 2017. "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 314-327.
    25. Li Liu & Yudong Wang, 2021. "Forecasting aggregate market volatility: The role of good and bad uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 40-61, January.
    26. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
    27. Eero J. Pätäri & Timo H. Leivo & Janne Hulkkonen & J. V. Samuli Honkapuro, 2018. "Enhancement of value investing strategies based on financial statement variables: the German evidence," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 813-845, October.
    28. Xu Gong & Boqiang Lin, 2021. "Effects of structural changes on the prediction of downside volatility in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1124-1153, July.
    29. Ahmed BenSaïda, 2021. "The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 540-570, April.
    30. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    31. Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022. "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 695-716, August.
    32. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
    33. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
    34. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    35. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    36. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
    37. Peter, Eckley, 2015. "Measuring economic uncertainty using news-media textual data," MPRA Paper 64874, University Library of Munich, Germany, revised 01 May 2015.
    38. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
    39. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    40. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).
    41. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).

  14. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.

    Cited by:

    1. Aflatooni, Abbas & Ghaderi, Kaveh & Mansouri, Kefsan, 2022. "Sanctions against Iran, political connections and speed of adjustment," Emerging Markets Review, Elsevier, vol. 51(PB).
    2. Saeed Ghasseminejad & Mohammad R. Jahan-Parvar, 2020. "The Impact of Financial Sanctions: The Case of Iran 2011-2016," International Finance Discussion Papers 1281, Board of Governors of the Federal Reserve System (U.S.).
    3. Ghasseminejad, Saeed & Jahan-Parvar, Mohammad R., 2021. "The impact of financial sanctions: The case of Iran," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 601-621.
    4. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
    5. Draca, Mirko & Garred, Jason & Stickland, Leanne & Warrinnier, Nele, 2018. "On Target? The Incidence of Sanctions Across Listed Firms in Iran," CAGE Online Working Paper Series 372, Competitive Advantage in the Global Economy (CAGE).
    6. Singhal, Shelly & Choudhary, Sangita & Biswal, Pratap Chandra, 2019. "Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico," Resources Policy, Elsevier, vol. 60(C), pages 255-261.
    7. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.

  15. Hassan Mohammadi & Mohammad Jahan-Parvar, 2012. "Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 766-779, July.

    Cited by:

    1. Olayeni, Olaolu Richard & Tiwari, Aviral Kumar & Wohar, Mark E., 2020. "Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate," Energy Economics, Elsevier, vol. 92(C).
    2. Wu, Tao & An, Feng & Gao, Xiangyun & Wang, Ze, 2023. "Hidden causality between oil prices and exchange rates," Resources Policy, Elsevier, vol. 82(C).
    3. Khalid M. Kisswani, 2016. "Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test," Applied Economics, Taylor & Francis Journals, vol. 48(20), pages 1831-1839, April.
    4. Areli Bermudez Delgado, Nancy & Bermudez Delgado, Estefanía & Saucedo, Eduardo, 2018. "The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 266-275.
    5. Gao Wenxin & Wen Jun & Zakaria Muhammad & Mahmood Hamid, 2022. "Nonlinear and Asymmetric Impact of Oil Prices on Exchange Rates: Evidence from South Asia," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 16(1), pages 243-256, January.
    6. Taufeeque Ahmad Siddiqui & Haseen Ahmed & Mohammad Naushad & Uzma Khan, 2023. "The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 566-578, May.
    7. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    8. Jungho Baek & Yoon Jung Choi, 2021. "Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia," The World Economy, Wiley Blackwell, vol. 44(1), pages 312-325, January.
    9. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
    10. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print hal-01411817, HAL.
    11. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    12. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
    13. Baek, Jungho, 2022. "Does COVID-19 play any role in the asymmetric relationship between oil prices and exchange rates? Evidence from South Korea," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 553-559.
    14. Grant Mark Nülle & Graham A. Davis, 2018. "Neither Dutch nor disease?—natural resource booms in theory and empirics," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(1), pages 35-59, May.
    15. Aissa Djedaiet & Hicham Ayad, "undated". "The double whammy of COVID-19 and oil price collapse: Spillover effects on inflation and exchange rates," Review of Socio - Economic Perspectives 202206, Reviewsep.
    16. Hasanov Fakhri, 2011. "Analyzing price level in a booming economy: the case of Azerbaijan," EERC Working Paper Series 11/02e, EERC Research Network, Russia and CIS.
    17. Benjamin Ighodalo Ehikioya & Alexander Ehimare Omankhanlen & Ayopo Abiola Babajide & Godswill Osagie Osuma & Cordelia Onyinyechi Omodero, 2020. "Oil Price Fluctuations and Exchange Rate in Selected Sub-Saharan Africa countries: A Vector Error Correction Model Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 242-249.
    18. Edward Nissan & Farhang Niroomand, 2015. "Economic, welfare, demographic, and gender inequalities among selected Arab countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 396-411, April.
    19. Salah A. Nusair & Khalid M. Kisswani, 2015. "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 1-25, December.
    20. Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, vol. 6(2), pages 1-21, May.
    21. Hasanov, Fakhri, 2010. "The impact of real oil price on real effective exchange rate: The case of Azerbaijan," MPRA Paper 33493, University Library of Munich, Germany.
    22. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
    23. Sugra Humbatova & Ibrahim Guliyev Gadim & Sabuhi Tanriverdiyev Mileddin & Natig Gadim-Oglu Hajiyev, 2023. "Impact of Oil Factor on Consumer Market: The Case of Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 202-215, July.
    24. Jassim Aladwani, 2023. "Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 531-541, July.
    25. McLeod, Roger C.D. & Haughton, Andre Yone, 2018. "The value of the US dollar and its impact on oil prices: Evidence from a non-linear asymmetric cointegration approach," Energy Economics, Elsevier, vol. 70(C), pages 61-69.
    26. Ahmad, A.H. & Moran Hernandez, Ricardo, 2013. "Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 306-317.
    27. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    28. Ayad Hicham, 2021. "Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?," Folia Oeconomica Stetinensia, Sciendo, vol. 21(1), pages 1-17, June.
    29. Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
    30. Zhang, Xiang & Baek, Jungho, 2022. "The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches," Energy Economics, Elsevier, vol. 112(C).
    31. Abubakar Lawan Ngoma & Normaz Wana Ismail & Zulkornain Yusop, 2016. "An Analysis of Real Oil Prices and Real Exchange Rates in Five African Countries," Foreign Trade Review, , vol. 51(2), pages 162-179, May.
    32. Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra, 2013. "Is Russia suffering from Dutch Disease? Cointegration with structural break," Resources Policy, Elsevier, vol. 38(4), pages 605-612.
    33. Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.

  16. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
    See citations under working paper version above.
  17. Mohammad R. Jahan-Parvar (bio) & Hassan Mohammadi (bio), 2011. "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 45(1), pages 313-322, July-Dece.
    See citations under working paper version above.
  18. Craig E. Landry & Mohammad R. Jahan‐Parvar, 2011. "Flood Insurance Coverage in the Coastal Zone," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(2), pages 361-388, June.
    See citations under working paper version above.
  19. Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
    See citations under working paper version above.
  20. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010. "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 413-427, June.
    See citations under working paper version above.
  21. Mohammad R. Jahan‐Parvar & Hassan Mohammadi, 2009. "Oil prices and competitiveness: time series evidence from six oil‐producing countries," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 36(1), pages 98-118, January.

    Cited by:

    1. Ari-Matti Näätänen, 2015. "The Impact of Economic Globalization on the Employment Policies in 19 Western Democracies from 1985 to 2010. Limited Change or Radical Shift towards Workfare?," Social Sciences, MDPI, vol. 4(3), pages 1-18, September.
    2. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2008. "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," MPRA Paper 13435, University Library of Munich, Germany.
    3. Böhme, Marcus & Breisinger, Clemens & Schweickert, Rainer & Wiebelt, Manfred, 2010. "Oil revenues for public investment in Africa: Targeting urban or rural areas?," Kiel Working Papers 1623, Kiel Institute for the World Economy (IfW Kiel).
    4. Mohammadi, Hassan & Su, Lixian, 2010. "International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models," Energy Economics, Elsevier, vol. 32(5), pages 1001-1008, September.
    5. Khiabani, Nasser, 2010. "How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran," MPRA Paper 34041, University Library of Munich, Germany, revised 01 Mar 2011.
    6. Michael Plante, 2008. "Oil Price Shocks and Exchange Rate Management: The Implications of Consumer Durables for the Small Open Economy," CAEPR Working Papers 2008-007, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    7. Muhammad Zia-Ur Rehman & Zahid Bashir & Asia Baig, 2018. "Economic Turmoil - Oil Prices and the Middle East Crisis," Global Economics Review, Humanity Only, vol. 3(1), pages 71-80, June.
    8. Ioannis ANTONIADIS, 2017. "Exploring The Linkage Between Oil And Gas Sector And Competitiveness: A Panel Data Analysis For The Countries Of The Black Sea Region," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 16(1), pages 34-44.

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